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									O

Comptroller of the Currency
Administrator of National Banks

Washington, DC 20219

   OCC’s Quarterly Report on Bank Trading and Derivatives Activities

                        Second Quarter 2012


Executive Summary

    	   Insured U.S. commercial banks and savings associations reported trading revenues of $2.0 billion in the
         second quarter, 73% lower than $7.4 billion in the second quarter of 2011. Trading revenues in the
         second quarter of 2012 were 69% lower than revised first quarter 2012 revenues of $6.4 billion.
        Credit exposure from derivatives increased in the second quarter. Net current credit exposure rose 9%,
         or $32 billion, to $410 billion.
        Trading risk exposure, as measured by Value-at-Risk (VaR), totaled $569 million at the 5 largest trading
         companies, 1% higher than in the first quarter.
    	   For the fourth consecutive quarter, the notional amount of derivatives held by insured U.S. commercial
         banks and savings associations fell. Notional derivatives fell $5.5 trillion, or 2.4%, to $222 trillion.
         Derivatives notionals continue to fall due to aggressive trade compression efforts in credit and interest
         rate contracts.
    	   Derivative contracts remain concentrated in interest rate products, which comprise 80% of total
         derivative notional amounts. Credit derivatives, which represent 6% of total derivatives notionals, fell
         3% to $13.6 trillion.


The OCC’s quarterly report on trading revenues and bank derivatives activities is based on Call Report
information provided by all insured U.S. commercial banks and trust companies, reports filed by U.S. financial
holding companies, and other published data. Beginning in the first quarter of 2012, savings associations
reported their financial results in the Call Reports. As a result, their trading and derivatives activity is now
included in the OCC’s quarterly derivatives report.

A total of 1,332 insured U.S. commercial banks and savings associations reported derivatives activities at the
end of the second quarter, an increase of 41 from the prior quarter. Derivatives activity in the U.S. banking
system continues to be dominated by a small group of large financial institutions. Four large commercial banks
represent 93% of the total banking industry notional amounts and 81% of industry net current credit exposure.

The OCC and other supervisors have examiners on-site at the largest banks to continuously evaluate the credit,
market, operational, reputation, and compliance risks of bank derivatives activities. In addition to the OCC’s on-
site supervisory activities, the OCC continues to work with other financial supervisors and major market
participants to address infrastructure issues in OTC derivatives, including development of objectives and
milestones for stronger trade processing and improved market transparency across all OTC derivatives
categories.

Revenues

Insured U.S. commercial banks and savings associations reported $2.0 billion in trading revenues in the second
quarter, 69% lower than revised first quarter revenues of $6.4 billion (originally reported as $7.0 billion), and
73% lower ($5.4 billion) than second quarter 2011 results. Trading revenues typically decline in the second
quarter of the year, as the first quarter is nearly always the strongest revenue quarter each year. Since 2000,
trading revenues have fallen in the second quarter 10 times, with an average decline of 31%. While a normal
seasonal effect, soft client demand and diminished risk appetite of the major dealers and their clients
contributed to the decline in second quarter trading revenues, the major cause was the well-publicized activities
of JPMorgan’s Chief Investment Office, which led the bank to report a $3.7 billion loss from credit trading
activities. That loss drove a $4.1 billion aggregate credit trading loss for insured commercial banks. In
addition, combined interest rate and FX trading revenues of $4.9 billion were $2.3 billion less than $7.1 billion in
the first quarter. The impact of valuation adjustments on derivatives payables and receivables did not have a
material impact on second quarter trading revenues.

Relative to the second quarter of 2011, the $5.4 billion decline in trading revenues was driven by a $5.6 billion
decline in credit trading results. Trading revenues in the second quarter of 2012 were the fourth weakest of
any second quarter since 1996.

Commercial Bank Trading Revenue

Bank Trading Revenue                                            Change    % Change                         Change    % Change
                                                                2Q12 vs.  2Q12 vs.                        2Q12 vs.   2Q12 vs.
$ in millions                        2Q12          1Q12          1Q12       1Q12               2Q11         2Q11       2Q11
Interest Rate                          2,731        5,627         (2,896)      -51%             4,320        (1,589)      -37%
Foreign Exchange                       2,120        1,505            615        41%               491         1,629       332%
Equity                                 1,010          260            750       289%               736           275        37%
Commodity & Other                        219          412           (193)      -47%               304           (85)      -28%
Credit                                (4,104)      (1,444)        (2,660)     -184%             1,507        (5,611)     -372%
Total Trading Revenues                 1,976        6,359         (4,383)      -69%             7,357        (5,381)      -73%

Bank Trading Revenue             2Q12     Avg Past           ALL Quarters Since Q4 1996                   Past   8 Quarters
$ in millions                             12 Q2's             Avg         Hi       Low                Avg         Hi        Low
Interest Rate                      2,731     1,607             1,456      9,099   (3,420)             3,166       5,627       253
Foreign Exchange                   2,120     1,806             1,507      4,261   (1,535)             1,193       2,595    (1,047)
Equity                             1,010       415               413      1,829   (1,229)               598       1,442      (119)
Commodity & Other                    219       186               164        789     (320)               301         558        94
Credit*                           (4,104)     (110)               N/A     2,707 (11,780)                (37)      1,764    (4,104)
Total Trading Revenues             1,976                                                              5,221
*Credit trading revenues became reportable in 1Q07. Highs and lows are for available quarters only.




                                                                                                                                 2
                                                                     Quarterly Bank  Trading  Revenues
                        $8,000                                                                                                                               $7,357
     ($  in millions)



                                                                                                                                                   $6,359  
                        $6,000           $5,627  

                                                $4,320
                        $4,000  
                                   $2,731  
                                                         $2,120                                                                                $1,976 
                        $2,000                                      $1,505                                                            $1,507
                                                                               $1,010  
                                                                        $491                   $736
                                                                                          $260         $219  $412   $304
                             $0 


                        ($2,000)                                                                                                  ($1,444)



                        ($4,000)
                                                                                                                           ($4,104)

                        ($6,000)
                                     Interest  Rate        Foreign Exchange             Equity        Commodity &  Other         Credit                  Total
                                                                                 2Q12         1Q12      2Q11

Note: Beginning 1Q07, credit exposures are broken out as a separate category.
Data Source: Call Reports.

Holding Company Trading Revenues1

To get a more complete picture of trading revenues in the banking system, it is useful to consider consolidated
holding company trading performance. As illustrated in the table below, consolidated holding company trading
revenues of $9.2 billion in the second quarter of 2012 were 50% lower than revised first quarter revenues of
$18.2 billion (originally reported as $18.9 billion), and 46% lower ($7.9 billion) than in the second quarter of
2011. The $9.1 billion decline in second quarter trading revenues relative to the first quarter of 2012 reflected
expected seasonal weakness, as trading revenues normally decline in the second quarter. Revenues fell across
all categories, but were driven by a $4.3 billion decline in equity trading, as well as a $1.9 billion decline in
credit trading revenues reflecting the JPMorgan Chief Investment Office transactions. Additionally, unlike at the
bank level, where net valuation adjustments were not a major component of trading revenues, adjustments for
the valuation of debt at the parent holding companies had a negative impact on trading revenues as bank
holding company credit spreads narrowed. When bank credit spreads narrow, the value of liabilities accounted
for at fair value increases, creating losses. Some companies report these adjustments in their trading revenues.

    Holding Co. Trading Revenue                                                               Change    % Change                           Change    % Change
                                                                                             2Q12 vs.   2Q12 vs.                          2Q12 vs.   2Q12 vs.
    $ in millions                                              2Q12            1Q12            1Q12       1Q12             2Q11             2Q11       2Q11
    Interest Rate                                               5,031           7,596           (2,564)      -34%           4,477               554        12%
    Foreign Exchange                                            3,089           2,005            1,084        54%           1,158             1,931       167%
    Equity                                                      1,409           5,684           (4,275)      -75%           5,218            (3,809)      -73%
    Commodity & Other                                             880           2,265           (1,385)      -61%           1,411              (531)      -38%
    Credit                                                     (1,239)            673           (1,912)     -284%           4,762            (6,001)     -126%
    Total HC Trading Revenues                                   9,171          18,224           (9,053)      -50%          17,026            (7,855)      -46%




1
 The OCC’s Quarterly Report on Bank Trading and Derivatives Activities focuses on the activity and performance of insured commercial
banks. Discussion of consolidated bank holding company activity and performance is limited to this section, as well as the data in Table 2
and Graph 5D.
                                                                                                                                                                      3
Prior to the financial crisis, bank trading revenues typically ranged from 60-80% of consolidated holding
company trading revenues. Since the financial crisis, and the adoption of bank charters by the former
investment banks, the percentage of bank trading revenues to consolidated company revenues has fallen into a
range of 30-50%. This decline reflects the significant amount of trading activity by the former investment
banks that, while included in holding company results, remains outside the insured commercial bank. More
generally, insured commercial banks and savings associations have more limited legal authorities than do their
holding companies, particularly in commodity and equity products.

In the second quarter, bank trading revenues represented 22% of consolidated company trading revenues,
compared to 35% in the first quarter. The decline in the bank contribution to holding company revenues is
attributable to the $4.1 billion loss from credit trading activities at insured commercial banks, which was more
than three times the loss reported at the holding company level. Additionally, revenues from interest rate and
foreign exchange activities were lower at banks, relative to their holding companies, than is typically the case.
Over the past 10 quarters, revenues from trading interest rate and FX at insured commercial banks have
averaged 82% of such revenues at the parent holding companies. In the second quarter, however, they were
only 60%.

Credit Risk

Credit risk is a significant risk in bank derivatives trading activities. The notional amount of a derivative contract
is a reference amount from which contractual payments will be derived, but it is generally not an amount at
risk. The credit risk in a derivative contract is a function of a number of variables, such as whether
counterparties exchange notional principal, the volatility of the underlying market factors (interest rate,
currency, commodity, equity or corporate reference entity), the maturity and liquidity of the contract, and the
creditworthiness of the counterparty.

Credit risk in derivatives differs from credit risk in loans due to the more uncertain nature of the potential credit
exposure. With a funded loan, the amount at risk is the amount advanced to the borrower. The credit risk is
unilateral; the bank faces the credit exposure of the borrower. However, in most derivatives transactions, such
as swaps (which make up the bulk of bank derivatives contracts), the credit exposure is bilateral. Each party to
the contract may (and, if the contract has a long enough tenor, probably will) have a current credit exposure to
the other party at various points in time over the contract’s life. Moreover, because the credit exposure is a
function of movements in market factors, banks do not know, and can only estimate, how much the value of
the derivative contract might be at various points of time in the future.

The first step to measuring credit exposure in derivative contracts involves identifying those contracts where a
bank would lose value if the counterparty to a contract defaulted today. The total of all contracts with positive
value (i.e., derivatives receivables) to the bank is the gross positive fair value (GPFV) and represents an initial
measurement of credit exposure. The total of all contracts with negative value (i.e., derivatives payables) to
the bank is the gross negative fair value (GNFV) and represents a measurement of the exposure the bank poses
to its counterparties.

$ in billions                Gross Positive Fair Values                        Gross Negative Fair Values
                      2Q12       1Q12        Change %Change             2Q12         1Q12      Change %Change
Interest Rates          4,177       3,771         407   11%                4,085       3,677         408  11%
FX                        413         412             1  0%                  417         417            1  0%
Equity                     83           84          (1) -1%                   79          84          (4) -5%
Commodity                  49           54          (5) -9%                   51          56          (5) -9%
Credit                    314         293           21   7%                  308         288          19   7%
Total                   5,036       4,614         422    9%                4,940       4,522         418   9%

Gross positive fair values (i.e., derivatives receivables) increased 9%, or $422 billion, to $5.0 trillion in the
second quarter. Receivables from interest rate contracts, which make up 83% of gross derivatives receivables
(and hence are the dominant source of credit exposure), increased 11%, or $407 billion, due to lower interest
rates during the quarter. Because banks hedge the market risk of their derivatives portfolios, the increase in
gross positive fair values was offset by a similar increase in gross negative fair values (i.e., derivatives

                                                                                                                    4
payables). Derivatives payables increased 9%, or $418 billion, to $4.9 trillion, with payables increasing across
interest rates and credit contracts, consistent with the increase in receivables on those same asset classes.

For a portfolio of contracts with a single counterparty where the bank has a legally enforceable bilateral netting
agreement, contracts with negative values may be used to offset contracts with positive values. This process
generates a “net” current credit exposure (NCCE), as shown in the example below:


          Counterparty A Portfolio             # of      Value of Contracts       Credit Measure/Metric
                                             Contracts
          Contracts With Positive                6                $500            Gross Positive Fair Value
          Value
          Contracts With Negative               4                 $350            Gross Negative Fair Value
          Value
          Total Contracts                       10                $150            Net Current Credit Exposure (NCCE)
                                                                                  to Counterparty A

A bank’s net current credit exposure across all counterparties will therefore be the sum of the gross positive fair
values for counterparties without legally certain bilateral netting arrangements (this may be due to the use of
non-standardized documentation or jurisdiction considerations) and the bilaterally netted current credit
exposure for counterparties with legal certainty regarding the enforceability of netting agreements.

Net current credit exposure is the primary metric used by the OCC to evaluate credit risk in bank derivatives
activities. NCCE for insured U.S. commercial banks and saving associations increased 9% ($32 billion) to $410
billion in the second quarter, as the $422 billion increase in gross receivables (GPFV) exceeded the $390 billion
increase in the dollar amount of netting benefits. NCCE peaked at $800 billion at the end of 2008, during the
financial crisis, when interest rates had plunged and credit spreads were very high. Although market interest
rates are now lower than back in 2008, net current credit exposure is well below the $800 billion peak in 2008.
The difference between very low current market swap rates and prevailing swap rates in dealers’ interest rate
books, which creates credit exposure, has narrowed due to the extended period of low interest rates and the
substantial growth in notional derivatives that has occurred during this low-rate period. Notional derivatives are
22% higher than in the second quarter of 2008, even after four consecutive declines in notionals due to
compression activities. As a result, the $4.2 trillion gross fair value of receivables on interest rate contracts at
the end of the second quarter of 2012 was only 82% of the $5.1 trillion in receivables from interest rate
contracts at the end of 2008, notwithstanding much lower current market interest rates.

Legally enforceable netting agreements allowed banks to reduce GPFV exposures by 91.9% ($4.6 trillion) in the
second quarter, up from 91.8% in the first quarter.

 $ in billions                                             2Q12          1Q12          Change         %
 Gross Positive Fair Value (GPFV)                             5,036         4,614          422            9%
 Netting Benefits                                             4,626         4,236          390            9%
 Netted Current Credit Exposure (NCCE)                            410           377         32            9%
 Potential Future Exposure (PFE)                                  696           748         (52)          -7%
 Total Credit Exposure (TCE)                                  1,106         1,126           (20)          -2%
 Netting Benefit %                                           91.9%         91.8%           0.0%           0%
 10 Year Interest Swap Rate                                  1.77%         2.23%         -0.46%         -21%
 Dollar Index Spot                                             81.6             79.0        2.6           3%
 Credit Derivative Index - North America Inv Grade            114.1             87.0       27.1           31%
 Credit Derivative Index - High Volatility                    215.5           172.3        43.2           25%
 Russell 3000 Index Fund (RAY)                                803.6         834.1         (30.5)          -4%
 Dow Jones-UBS Commodity Index (DJUBS)                        135.4         141.9          (6.5)          -5%
Note: Numbers may not add due to rounding.


The second step in evaluating credit risk involves an estimation of how much the value of a given derivative
contract might change in the bank’s favor over the remaining life of the contract; this is referred to as the
“potential future exposure” (PFE). PFE decreased 7% ($52 billion) in the second quarter to $696 billion, due to
                                                                                                                       5
a decline in the notional amount of credit and interest rate contracts. The total credit exposure (PFE plus the
net current credit exposure) decreased 2% in the second quarter to $1.1 trillion.

The distribution of NCCE in the banking system is concentrated in banks/securities firms (55%) and
corporations (38%). Exposure to hedge funds, sovereign governments and monoline financial firms is very
small (6% in total). However, the sheer size of aggregate counterparty exposures results in the potential for
major losses even in sectors where exposure is a small percentage of the total. For example, notwithstanding
the minimal share of NCCE to monolines, banks suffered material losses on these exposures during the credit
crisis. Because banks have taken credit charges (via credit valuation adjustments) to completely write down
their monoline exposures, current credit exposures to monolines are now virtually 0% of total net current credit
exposure. Sovereign credit exposures are also a small component (5%) of net current credit exposure and, like
monoline exposures, are largely unsecured. Sovereign exposures are an increasing area of focus for bank
supervisors as they review counterparty credit risk.

Net Current Credit Exposure
                                                        Banks & Securities           Monoline            Hedge         Sovereign       Corp and All Other
By Counterparty Type as a % of Total NCCE                                                                                                                         Total
                                                              Firms               Financial Firms        Funds        Governments       Counterparties
  Total Commercial Banks                                       55%                     0%                 1%                 5%                38%                100%
  Top 4 Commercial Banks                                       57%                      0%                1%                 6%                35%                100%



A more risk sensitive measure of credit exposure would also consider the value of collateral held against
counterparty exposures. Commercial banks and savings associations with total assets greater than $10 billion
report the fair value of collateral held against various classifications of counterparty exposure.

Reporting banks held collateral against 70% of total NCCE at the end of the second quarter, up from 67% in the
first quarter. Credit exposures to banks/securities firms and hedge funds are well secured. Banks held
collateral against 94% of their current exposure to banks and securities firms, up from 88% in the first quarter.
Collateral held against hedge fund exposures increased to 336% in the second quarter from 312% in the first
quarter. Hedge fund exposures have always been very well secured, because banks take “initial margin” on
transactions with hedge funds, in addition to fully securing any current credit exposure. Collateral coverage of
corporate, monoline and sovereign exposures is much less than for financial institutions and hedge funds.

 FV of Collateral to Net Current Credit
               Exposure                     Banks & Securities          Monoline               Hedge              Sovereign       Corp and All Other           Overall
                                                  Firms              Financial Firms           Funds             Governments       Counterparties             FV/NCCE

   Total Commercial Banks                           94%                      4%                 336%                14%                 35%                     70%



Collateral quality held by banks is very high and liquid, with 78.9% held in cash (both U.S. dollar and non-
dollar), and an additional 9.3% held in U.S. Treasuries and government agencies. The percentage of collateral
held in cash, however, did decline from the first quarter, when it was 81.3%. Other types of collateral
increased from 8.3% to 10.2% in the second quarter.

Fair Value of Collateral                     Cash             Cash                U.S. Treas        U.S. Gov't        Corp         Equity        All Other         Total
                                          U.S. Dollar         Other               Securities         Agency          Bonds        Securities     Collateral
Collateral Compostion (%)                   45.9%             33.0%                 3.0%              6.3%            0.9%           0.9%            10.2%        100.0%



Key credit performance metrics for derivatives receivables improved in the second quarter, with lower charge-
offs and past due contracts. The fair value of derivatives contracts past due 30 days or more decreased 15% to
$22 million. Past-due derivative contracts represent 0.01% of NCCE. Banks charged-off $54 million in
derivatives receivables in the second quarter, down from $76 million in the first quarter. Although the volume
of charge-offs decreased in the second quarter, 4 more banks reported charge-offs of derivatives exposures (25
versus 21). Charge-offs in the second quarter of 2012 represented 0.01% of the net current credit exposure
from derivative contracts. [See Graph 5C.] For comparison purposes, Commercial and Industrial (C&I) loan net
charge-offs increased $146 million, or 8%, to $2.0 billion. Net C&I charge-offs were 0.14% of total C&I loans in
the second quarter, the same as in the first quarter.

The level of charge-offs of derivatives credit exposures is typically much less than for C&I exposures. Two
factors account for the historically favorable charge-off performance of derivatives. First, the credit quality of
the typical derivatives counterparty is higher than the credit quality of the typical C&I borrower. Second, most

                                                                                                                                                                           6
of the large credit exposures from derivatives, whether from other dealers, large non-dealer banks, or hedge
funds are collateralized daily, typically by cash and/or government securities.

Market Risk

Banks control market risk in trading operations primarily by establishing limits against potential losses. Value-
at-Risk (VaR) is a statistical measure that banks use to quantify the maximum expected loss, over a specified
horizon and at a certain confidence level, in normal markets. It is important to emphasize that VaR is not the
maximum potential loss; it provides a loss estimate at a specified confidence level. A VaR of $50 million at 99%
confidence measured over one trading day, for example, indicates that a trading loss of greater than $50 million
in the next day on that portfolio should occur only once in every 100 trading days under normal market
conditions. Since VaR does not measure the maximum potential loss, banks stress test trading portfolios to
assess the potential for loss beyond the VaR measure. Banks and supervisors have been working to expand the
use of stress analyses to complement the VaR risk measurement process that is typically used when assessing a
bank’s exposure to market risk.
 $ in millions                        JPMorgan Chase   Citigroup Inc.   Bank of America   The Goldman   Morgan Stanley
                                          & Co.                              Corp.        Sachs Group

 Average VaR Q2'12                         $201           $122               $63              $92            $91
 Average VaR Q1'12                         $170           $131               $84              $95            $84
 Change in Avg VaR Q2'12 vs Q1'12           $31            ($9)              ($22)            ($3)            $7
 % Change in Avg VaR Q2'12 vs Q1'12         18%            -7%               -26%             -3%             8%
 6-30-12 Equity Capital                  $189,728       $181,820           $232,499         $71,656        $62,324
 2011 Net Income                         $18,976        $11,067             $1,446          $4,442         $4,110
 Avg VaR Q2'12 / Equity                   0.11%          0.07%              0.03%            0.13%          0.15%
 Avg VaR Q2'12 / 2011 Net Income           1.1%           1.1%               4.3%            2.1%           2.2%
Data Source: 10K & 10Q SEC Reports.

The large trading banks disclose average VaR data in published financial reports. To provide perspective on the
market risk of trading activities, it is useful to compare the VaR numbers over time, and to equity capital and
net income. As shown in the table above, market risks reported by the five largest banking companies, as
measured by VaR, are small as a percentage of their capital. Because of mergers, and VaR measurement
systems incorporating higher volatility price changes throughout the credit crisis (compared to the very low
volatility environment prior to the crisis), bank VaR measures had generally increased throughout the credit
crisis. After the peak of the financial crisis, as more normal market conditions emerged and volatility declined,
bank VaR measures have broadly trended lower.

The VaR data in the table above reflect the VaR of all activities in the large dealer firms. In the past, our
reports have used only the VaR related to trading/intermediation activities. The large dealers also measure risk,
using VaR, for non-trading activities such as hedging mortgage servicing rights. Beginning with the first quarter
2012 Quarterly Derivatives Report, the VaR data above reflect the aggregate VaR of each dealer firm, for both
trading and non-trading activities. As a result, the VaR measures for some firms are meaningfully higher than in
our previous reports.

Concerns about the quality of European sovereign debt and deteriorating economic conditions in Europe have
led market participants to increasingly focus on the health of the banking system in Europe. Those European
concerns, combined with uncertainty about the impact on derivatives markets from legislative changes and
progress on reducing the U.S. budget deficit, led large dealers to actively reduce risk throughout 2011. This
broad trend has generally continued in 2012, aided by lower volatility, which reduces measured risk. Aggregate
average VaR measures across the five largest dealer firms totaled $569 million for the second quarter of 2012,
1% higher than $564 million in the first quarter.

Because of methodological differences in calculating VaR, readers are cautioned that a higher VaR figure at a
particular bank may not necessarily imply that the bank has more trading risk than another bank with a lower
VaR. For example, JPMorgan, Goldman Sachs and Morgan Stanley calculate VaR using a 95% confidence
interval. If those firms used a 99% confidence interval, as does Bank of America and Citigroup, their VaR
estimates would be meaningfully higher. The data series used to measure risk also is an important factor in the
calculated risk measure. Firms using a longer period over which to measure risk may include the higher
                                                                                                                     7
volatility period of the financial crisis, and therefore their measured VaR will be higher than firms that use a less
volatile data series. Indeed, one major reason for the decline in VaR at large trading firms is the lower volatility
environment that has prevailed since the end of the financial crisis. The VaR measure for a single portfolio of
exposures will be different if the time period used to measure risk is not the same.

To test the effectiveness of VaR measurement systems, trading institutions track the number of times that daily
losses exceed VaR estimates. Under the Market Risk Rule that establishes regulatory capital requirements for
U.S. commercial banks and savings associations with significant trading activities, a bank’s capital requirement
for market risk is based on its VaR measured at a 99% confidence level and assuming a 10-day holding period.
Banks back-test their VaR measure by comparing the actual daily profit or loss to the VaR measure. The results
of the back-test determine the size of the multiplier applied to the VaR measure in the risk-based capital
calculation. The multiplier adds a safety factor to the capital requirements. An “exception” occurs when a
dealer has a daily loss in excess of its VaR measure. Some banks disclose the number of such “exceptions” in
their published financial reports. Because of the unusually high market volatility and large write-downs in CDOs
during the financial crisis, as well as poor market liquidity, a number of banks experienced back-test exceptions
and therefore an increase in their capital multiplier. Currently, however, none of the large dealer banks hold
additional capital for market risk based upon an increased multiplier, as the incidence of back-test exceptions no
longer requires it.

Credit Derivatives

Credit derivatives decreased 3% in the second quarter to $13.6 trillion, led by a 9.1% decline in contracts
referencing non-investment grade entities. Credit derivatives outstanding remain well below the peak of $16.4
trillion in the first quarter of 2008. From year-end 2003 to 2008, credit derivative contracts grew at a 100%
compounded annual growth rate. Industry efforts to eliminate offsetting trades (“trade compression”), as well
as reduced demand for structured products, has led to a decline in credit derivative notionals. Tables 11 and 12
provide detail on individual bank holdings of credit derivatives by product and maturity, as well as the credit
quality of the underlying reference entities. As shown in the first chart below, credit default swaps are the
dominant product at 97% of all credit derivatives notionals. [See charts below, Tables 11 and 12, and Graph
10.]

                                                                                                              2Q12
                                2Q12                                                      Credit Derivatives Composition by Maturity &
           Credit Derivatives Composition by Product Type                                    Quality of Underlying Reference Entity

                                                                                         Investment Grade:
                                                                                               < 1 yr
                                                 TOTAL                                         14%
                                                RETURN
                                                 SWAPS                          Sub Investment
                                                                                 Grade: > 5 yrs
                                                  0.6%
                                                                                      4%

                                                                                                                                           Investment Grade:
                                                      CREDIT                                                                                     1-5 yr
        CREDIT                                        OPTIONS                                                                                    41%
        DEFAULT                                        1.1%
         SWAPS
         96.7%                                                             Sub-Investment
                                                                            Grade: 1-5 yr
                                                                                23%
                                                  OTHER CREDIT
                                                     DERIVS
                                                      1.6%
                                                                                                                                Investment Grade:
                                                                                                                                     > 5 yrs
                                                                                        Sub-Investment                                 8%
                                                                                         Grade: < 1 yr
                                                                                             10%
Note: Beginning 1Q07, credit exposures are broken out as a separate category.
Data Source: Call Reports.


Contracts referencing investment grade entities with maturities from 1-5 years represent the largest segment of 

the market at 41% of all credit derivatives notionals, up from 39% at end of the first quarter of 2012. 

Contracts of all tenors that reference investment grade entities are 63% of the market, up from 61% in the first 

quarter. [See chart on right above.] 




                                                                                                                                                               8
The notional amount for the 41 insured U.S. commercial banks and savings associations that sold credit
protection (i.e., assumed credit risk) was $6.7 trillion, down 4% ($274 billion) from the first quarter. The
notional amount for the 33 banks that purchased credit protection (i.e., hedged credit risk) was $7 trillion, a
decrease of 2% ($153 billion). [See Tables 1, 3, 11 and 12 and Graphs 2, 3 and 4.]

Notionals

Changes in notional volumes are generally reasonable reflections of business activity, and therefore can provide
insight into potential revenue and operational issues. However, the notional amount of derivatives contracts
does not provide a useful measure of either market or credit risks.

The notional amount of derivatives contracts held by insured U.S. commercial banks and savings associations in
the second quarter fell, for a fourth consecutive quarter, by $5.5 trillion (2.4%) to $222.4 trillion. The decline in
notionals is almost entirely due to a $4.2 trillion decline (3%) in swap contracts, reflecting ongoing trade
compression efforts. Trade compression aggregates a large number of swap contracts with similar factors, such
as risk or cash flows, into fewer trades. Compression removes economic redundancy in a derivatives book, and
also reduces both operational risks and capital costs for large dealers. Trade compression efforts have focused
on interest rate and credit derivatives, each of which fell in the first quarter. Interest rate contracts fell by $4.9
trillion (3%) to $179 trillion, while credit derivative contracts (as noted above) fell $427 billion (3%) to $13.6
trillion.

The four banks with the most derivatives activity hold 93.2% of all derivatives, while the largest 25 banks
account for nearly 100% of all contracts. [See Tables 3, 5 and Graph 4.]

       Percentage Total Notionals by Type - 2Q12                                Percentage Total Notionals by Type - 1Q12


                                                            Foreign                                                      Foreign
                                                           Exchange                                                     Exchange
                                                           Contracts                                                    Contracts
                                                            11.9%                                                         11.8%




                                                                Equity                                                         Equity
                                                               Contracts                                                      Contracts
            Interest Rate                                        0.9%              Interest Rate                                0.8%
              Contracts                                                              Contracts
                80.4%                                                                  80.6%
                                                             Commodity/                                                     Commodity/
                                                               Other                                                          Other
                                                               0.7%                                                           0.6%


                                                              Credit                                                          Credit
                                                            Derivatives                                                     Derivatives
                                                              6.1%                                                            6.2%


Note: Beginning 1Q07, credit exposures are broken out as a separate category.
Data Source: Call Reports.


Interest rate contracts comprise 80% of total derivatives. FX and credit derivatives are 12% and 6%,
respectively, of total notionals.




                                                                                                                                          9
                                             2Q12      1Q12         $ Change       % Change      % of Total
$ in billions                                                                                    Derivatives
Interest Rate Contracts                      178,818    183,742          (4,924)          -3%             80%
Foreign Exchange Contracts                    26,550     26,816            (266)          -1%             12%
Equity Contracts                               1,985      1,899              86            5%              1%
Commodity/Other                                1,494      1,474              19            1%              1%
Credit Derivatives                            13,625     14,052            (427)          -3%              6%
Total                                        222,472    227,982          (5,511)          -2%           100%
Note: Numbers may not add due to rounding.


Swap contracts, notwithstanding the decline in the second quarter, continue to represent the bulk of the
derivatives market at $134 trillion (60%). Trade compression has had a meaningful impact in reducing the
notional amount of swaps. At the end of the second quarter of 2011, swap contract notionals were $156
trillion, representing 63% of total notional derivatives.

                                             2Q12      1Q12         $ Change       % Change      % of Total
$ in billions                                                                                    Derivatives
Futures & Forwards                            40,748     40,604             145            0%             18%
Swaps                                        134,482    138,671          (4,188)          -3%             60%
Options                                       33,616     34,656          (1,041)          -3%             15%
Credit Derivatives                            13,625     14,052            (427)          -3%              6%
Total                                        222,472    227,982          (5,511)          -2%           100%
Note: Numbers may not add due to rounding.




                                                                                                           10
GLOSSARY OF TERMS

Bilateral Netting: A legally enforceable arrangement between a bank and a counterparty that creates a single
legal obligation covering all included individual contracts. This means that a bank’s receivable or payable, in the
event of the default or insolvency of one of the parties, would be the net sum of all positive and negative fair
values of contracts included in the bilateral netting arrangement.

Credit Derivative: A financial contract that allows a party to take, or reduce, credit exposure (generally on a
bond, loan or index). Our derivatives survey includes over-the-counter (OTC) credit derivatives, such as credit
default swaps, total return swaps, and credit spread options.

Derivative: A financial contract whose value is derived from the performance of underlying market factors,
such as interest rates, currency exchange rates, commodity, credit, and equity prices. Derivative transactions
include a wide assortment of financial contracts including structured debt obligations and deposits, swaps,
futures, options, caps, floors, collars, forwards and various combinations thereof.

Gross Negative Fair Value (GNFV): The sum total of the fair values of contracts where the bank owes
money to its counterparties, without taking into account netting. This represents the maximum losses the
bank’s counterparties would incur if the bank defaults and there is no netting of contracts, and no bank
collateral was held by the counterparties. Gross negative fair values associated with credit derivatives are
included.

Gross Positive Fair Value (GPFV): The sum total of the fair values of contracts where the bank is owed
money by its counterparties, without taking into account netting. This represents the maximum losses a bank
could incur if all its counterparties default and there is no netting of contracts, and the bank holds no
counterparty collateral. Gross positive fair values associated with credit derivatives are included.

Net Current Credit Exposure (NCCE): For a portfolio of derivative contracts, NCCE is the gross positive fair
value of contracts less the dollar amount of netting benefits. On any individual contract, current credit exposure
(CCE) is the fair value of the contract if positive, and zero when the fair value is negative or zero. NCCE is also
the net amount owed to banks if all contracts were immediately liquidated.

Notional Amount: The nominal or face amount that is used to calculate payments made on swaps and other
risk management products. This amount generally does not change hands and is thus referred to as notional.

Over-the-Counter Derivative Contracts: Privately negotiated derivative contracts that are transacted off
organized exchanges.

Potential Future Exposure (PFE): An estimate of what the current credit exposure (CCE) could be over time,
based upon a supervisory formula in the agencies’ risk-based capital rules. PFE is generally determined by
multiplying the notional amount of the contract by a credit conversion factor that is based upon the underlying
market factor (e.g., interest rates, commodity prices, equity prices, etc.) and the contract’s remaining maturity.
However, the risk-based capital rules permit banks to adjust the formulaic PFE measure by the “net to gross
ratio,” which proxies the risk-reduction benefits attributable to a valid bilateral netting contract. PFE data in this
report uses the amounts upon which banks hold risk-based capital.

Total Credit Exposure (TCE): The sum total of net current credit exposure (NCCE) and potential future
exposure (PFE).

Total Risk-Based Capital: The sum of tier 1 plus tier 2 capital. Tier 1 capital consists of common
shareholders’ equity, perpetual preferred shareholders’ equity with noncumulative dividends, retained earnings,
and minority interests in the equity accounts of consolidated subsidiaries. Tier 2 capital consists of
subordinated debt, intermediate-term preferred stock, cumulative and long-term preferred stock, and a portion
of a bank’s allowance for loan and lease losses.



                                                                                                                   11
                                                                                                                                                                                                                                         Graph 1
	
                                                       Derivative Notionals by Type of User
                                         Insured U.S. Commercial Banks and Savings Associations
	

                                                                                                                                                                                                                                         260
                                                                                                                                                                                                                                         240
                                                                                                                                                           Total Notionals                                                               220
                                                                                                                                                                                                                                         200
                                                                                                                                                                                                                                         180
                                                                                                                                                                                                                                         160
                                                                                                                                                                                                                                         140




                                                                                                                                                                                                                                                    $ in Trillions
                                                                                                                                                                               Dealer (Trading)                                          120
                                                                                                                                                                                                                                         100
                                                                                                                                                                                                                                         80
                                                                                                                                                                                                                                         60
                                                                                                                                                                                                                                         40
                                                                                                                                                                                      Credit Derivatives                                 20
                                                                          End User (Non-Trading)
                                                                                                                                                                                                                                         0
         1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012



$ in Trillions                             2005                      2006                        2007                         2008                         2009                        2010                            2011                        2012
                                  Q1     Q2     Q3     Q4     Q1    Q2    Q3      Q4    Q1     Q2     Q3      Q4     Q1     Q2     Q3     Q4      Q1     Q2       Q3     Q4    Q1     Q2     Q3     Q4     Q1     Q2      Q3        Q4        Q1                 Q2
Total Derivative Notionals        91.1   96.2   98.8 101.5 110.2 119.2 126.2 131.5 145.8 153.6 173.6 165.6 180.3 182.1 175.8              200.4 202.0    203.5 204.3 212.8 216.5 223.4 234.7 231.2 244.0 249.3 248.0                230.8    228.0             222.5


Dealer (Trading)                  85.5   89.6   91.1   93.0 102.1 110.1 115.3 119.6 131.8 138.1 155.3 147.2 161.1 163.9 157.1             181.9 185.1    187.6 189.2 196.8 200.1 207.5 218.1 215.2 225.2 229.8 227.5                210.3    209.1             204.0


End User (Non-Trading)             2.5    2.5    2.6    2.6   2.6   2.6     3.0   2.8    2.9    2.6     2.8    2.6    2.8    2.8    2.6     2.6    2.3     2.4     2.1   2.0    2.0    2.0    2.1    1.9    3.9    4.3        4.8     5.8      4.8                    4.8


Credit Derivatives                 3.1    4.1    5.1    5.8   5.5   6.6     7.9   9.0   11.1   12.9   15.4    15.9   16.4   15.5   16.1    15.9   14.6    13.4    13.0 14.0    14.4   13.9   14.5   14.2   14.9   15.2    15.7       14.8     14.1                   13.6




          Note: Numbers may not add due to rounding. Total derivative notionals are now reported including credit derivatives, for which regulatory reporting does not differentiate between trading and non-trading.

          Data Source: Call Reports.
                                                                                                                                                                           Graph 2
	
                                                  Derivative Contracts by Product
                              Insured U.S. Commercial Banks and Savings Associations

                                       Year-ends 2001 – 2011, Quarterly 2012
	
                                                                                                                                                                      280,000


                                                                                                                                                                      240,000
                               Credit Derivatives
                               Options
                                                                                                                                                                      200,000
                               Swaps
                               Futures & Fwrds
                                                                                                                                                                      160,000




                                                                                                                                                                               $ Billions
                                                                                                                                                                      120,000


                                                                                                                                                                      80,000


                                                                                                                                                                      40,000


                                                                                                                                                                      0
          4Q01           4Q02          4Q03          4Q04          4Q05           4Q06          4Q07            4Q08     4Q09     4Q10     4Q11     1Q12     2Q12



$ in Billions                     4Q01         4Q02       4Q03        4Q04         4Q05         4Q06            4Q07     4Q08     4Q09     4Q10     4Q11     1Q12         2Q12

Futures & Fwrds                    9,313 11,374 11,393 11,373                      12,049       14,877          18,967   22,512   26,493   35,709   37,248   40,604       40,748

Swaps                             25,645 32,613 44,083 56,411                      64,738       81,328 103,090           131,706 142,011 149,247 146,253 138,671 134,482

Options                           10,032 11,452 14,605 17,750                      18,869       26,275          27,728   30,267   30,267   32,075   32,534   34,656       33,616

Credit Derivatives                    395         635      1,001       2,347        5,822         9,019         15,861   15,897   14,036   14,150   14,759   14,052       13,625

TOTAL*                            45,386 56,074 71,082 87,880 101,478 131,499 165,645                                    200,382 212,808 231,181 230,794 227,982 222,472


*Notional amount of total: futures, exchange traded options, over the counter options, forwards, and swaps. 


Note: Numbers may not add due to rounding.
	

Data Source: Call Reports
	
                                                                                                                                                                                                                   Graph 3
	
                                                     Derivative Contracts by Type
                           Insured U.S. Commercial Banks and Savings Associations

                                    Year-ends 2001 – 2011, Quarterly 2012
	

                                                                                                                       280                                      2Q12 Distribution

                Credit Derivatives                                                                                                                                   0.7%
                                                                                                                       240                            0.9%
                Commodities

                Equities                                                                                                                                                6.1%
                                                                                                                       200
                Foreign Exch
                                                                                                                                                       11.9%
                Interest Rate
                                                                                                                       160




                                                                                                                             $ Trillions
                                                                                                                       120                                                        80.4%



                                                                                                                       80



                                                                                                                       40

                                                                                                                                                     Interest Rate          Foreign Exch         Equities

                                                                                                                                                     Commodities            Credit Derivatives
                                                                                                                       0
        4Q01      4Q02     4Q03      4Q04   4Q05     4Q06    4Q07     4Q08   4Q09   4Q10     4Q11    1Q12       2Q12



$ in Billions                     4Q01      4Q02      4Q03      4Q04         4Q05          4Q06          4Q07          4Q08                4Q09      4Q10               4Q11               1Q12             2Q12


Interest Rate                   38,305      48,347   61,856     75,518        84,520       107,415     129,574         164,404             179,555   193,482           187,509             183,742          178,818


Foreign Exch                      5,736      6,076     7,182        8,607      9,282        11,900       16,614         16,824              16,553    20,990            25,436              26,816           26,550


Equities                             770      783       829         1,120      1,255         2,271          2,522          2,207             1,685     1,364                1,589            1,899            1,985


Commodities                          179      233       214          289         598           893          1,073          1,050              979      1,195                1,501            1,474            1,494


Credit Derivatives                   395      635      1,001        2,347      5,822         9,019       15,861         15,897              14,036    14,150            14,759              14,052           13,625


TOTAL*                          45,385      56,075   71,082     87,880       101,477       131,499     165,645         200,382             212,808   231,181           230,794             227,982          222,472


*Notional amount of total: futures, exchange traded options, over the counter options, forwards, and swaps. 


Note: As of 2Q06 equities and commodities types are shown as separate categories. They were previously shown as “Other Derivs.”
	
Numbers may not add due to rounding. 


Data Source: Call Reports
	
                                                                                                                                                                      Graph 4
	
                                             Four Banks Dominate in Derivatives
                      Insured U.S. Commercial Banks and Savings Associations, 2Q12
	


     Futures & Forwards
                                                                                                                                  Top 4 Banks    All Other Banks


                            Swaps


                         Options


        Credit Derivatives


                            TOTAL

                                         0                             50                             100                   150                 200                 250
                                                                                                              $ Trillions




Concentration of Derivative Contracts
	
                                                           $                           %                            $                %                  $                  %
  $ in Billions                                    Top 4 Bks                   Tot Derivs               All Other Bks        Tot Derivs           All Bks          Tot Derivs
  Futures & Fwrds                                    36,290                         16.3                       4,458               2.0            40,748                18.3
  Swaps                                             126,678                         56.9                       7,804               3.5           134,482                60.4
  Options                                            31,471                         14.1                       2,145               1.0            33,616                15.1
  Credit Derivatives                                 12,936                          5.8                          689              0.3            13,625                 6.1
  TOTAL*                                            207,375                         93.2                      15,096               6.8           222,472               100.0
*Notional amount of total: futures, exchange traded options, over the counter options, forwards, and swaps.

Data Source: Call Reports
                                                                                                                                                                                                              Graph 5A
	
                      Percentage of Total Credit Exposure to Risk Based Capital
       Top 4 Insured U.S. Commercial Banks and Savings Associations by Derivative Holdings
                                         1Q09 – 2Q12

                                                                   %
             JPMorgan Chase Bank, N.A.                                                                                                     %
                                                                400                          Bank of America, N.A.                         200



                                                                300                                                                        150




                                                                200                                                                        100
                                                                                                                                                                 Total Credit Exposure to

                                                                                                                                                                  Risk Based Capital (%)

                                                                100                                                                        50
                                                                                                                                                                                                    Goldman
                                                                                                                                                                 JPMC       Bank of       Citi-                   Top 4
                                                                                                                                                      (%)                                            Sachs
                                                                                                                                                                 Bank       America       bank                   Banks*
                                                                                                                                                                                                     Bank
                                                                0                                                                          0        1Q09         323          169         213         1048        286
                                                                               1Q 2Q 3Q 4Q 1Q 2Q 3Q 4Q 1Q 2Q 3Q 4Q 1Q 2Q
   1Q 2Q 3Q 4Q 1Q 2Q 3Q 4Q 1Q 2Q 3Q 4Q 1Q 2Q
                                                                                                                                                    2Q09         283          137         209         921         207
        2009                2010           2011         2012                        2009            2010            2011        2012
                                                                                                                                                    3Q09         290          135         203         858         311
                                                                                                                                                    4Q09         265          151         180         766         284
                                                                                                                                                    1Q10         266          161         180         672         267
                                                                                                                                                    2Q10         257          162         171         690         293
                                                               %                                                                          %         3Q10         267          172         194         638         289
                                                                                           Goldman Sachs Bank USA
                            Citibank, N.A.                      250
                                                                                                                                       1,200
                                                                                                                                                    4Q10         265          174         180         629         261
                                                                                                                                                    1Q11         275          182         183         781         318
                                                                                                                                       1,000        2Q11         274          182         203         788         323
                                                                200
                                                                                                                                                    3Q11         285          187         195         801         334
                                                                                                                                       800          4Q11         256          176         177         794         316
                                                                150                                                                                 1Q12         251          149         172         751         331
                                                                                                                                                    2Q12         246          141         174         738         325
                                                                                                                                       600
                                                                                                                                                   *Note: Quarters prior to 1Q12 reflect the capital exposure for the top 5 banks.
                                                                100
                                                                                                                                       400

                                                                50
                                                                                                                                       200


                                                                0
                                                                                                                                       0
     1Q 2Q 3Q 4Q 1Q 2Q 3Q 4Q 1Q 2Q 3Q 4Q 1Q 2Q
                                                                              1Q 2Q 3Q 4Q 1Q 2Q 3Q 4Q 1Q 2Q 3Q 4Q 1Q 2Q
          2009               2010          2011         2012
                                                                                   2009           2010           2011        2012




Note: Beginning in the 2Q09, the methodology to calculate the Credit Risk Exposure to Capital ratio for the Top 4 category was adjusted from a simple average to a weighted average.

Data Source: Call Reports
                                                                                                                                                    Graph 5B
               Netting Benefit: Amount of Gross Credit Exposure 

                      Eliminated Through Bilateral Netting

       Insured U.S. Commercial Banks and Savings Associations with Derivatives
	
                                   1Q98 – 2Q12
	
                                                                                                                                                  95
                                                                                                                                                  90
                                                                                                                                                  85
                                                                                                                                                  80
                                                                                                                                                  75




                                                                                                                                                       % Netting Benefit
                                                                                                                                                  70

                                                                                      Netting Benefit                                             65
                                                                                                                                                  60
                                                                                                                                                  55
                                                                                                                                                  50
                                                                                                                                                  45




Netting Benefit (%)*
	
                                                                                                                 *The netting benefit is defined as:
1Q98 2Q98 3Q98 4Q98 1Q99 2Q99 3Q99 4Q99 1Q00 2Q00 3Q00 4Q00 1Q01 2Q01 3Q01 4Q01                                  $ amount of netting benefits/gross positive
50.6    54.6   58.9   61.7   61.5   62.9   62.7   60.9   66.8   66.8   65.4   69.3   70.4   71.5   75.5   73.8   fair value.

                                                                                                                 Data Source: Call Reports
1Q02 2Q02 3Q02 4Q02 1Q03 2Q03 3Q03 4Q03 1Q04 2Q04 3Q04 4Q04 1Q05 2Q05 3Q05 4Q05
75.7    76.2   79.9   81.5   81.7   83.3   83.8   81.7   84.2   83.1   84.3   83.7   83.9   86.9   84.7   84.9


1Q06 2Q06 3Q06 4Q06 1Q07 2Q07 3Q07 4Q07 1Q08 2Q08 3Q08 4Q08 1Q09 2Q09 3Q09 4Q09
84.9    85.4   85.5   84.7   85.2   86.4   83.9   84.8   85.6   85.3   84.3   88.7   89.0   88.0   89.7   90.2


1Q10 2Q10 3Q10 4Q10 1Q11 2Q11 3Q11 4Q11 1Q12 2Q12
91.0    91.9   92.1   91.1   90.4   90.8   91.6   92.2   91.8   91.9
                                                                                                                                                                                                              Graph 5C
                                                  Quarterly (Charge-Offs)/Recoveries from Derivatives
                                      Insured U.S. Commercial Banks and Savings Associations with Derivatives

                                                                  1Q98 – 2Q12
	

                                   1750                                                                 Charge-offs                      % NCCE                                                          0.50

                                   1550
                                                                                                                                                                                                         0.40
                                   1350




                                                                                                                                                                                                                   % Netted Current Credit Exposure (line)
Charge-offs in $ millions (bars)




                                   1150                                                                                                                                                                  0.30

                                    950
                                                                                                                                                                                                         0.20
                                    750

                                    550                                                                                                                                                                  0.10

                                    350
                                                                                                                                                                                                         0.00
                                    150

                                    (50)                                                                                                                                                                 (0.10)
                                           1Q98       1Q99       1Q00         1Q01      1Q02    1Q03     1Q04    1Q05      1Q06          1Q07     1Q08          1Q09      1Q10      1Q11       1Q12


$ in Millions
                                                                                                                                                                                 Note:
  1Q98                                 2Q98        3Q98      4Q98     1Q99     2Q99     3Q99    4Q99     1Q00    2Q00    3Q00    4Q00     1Q01   2Q01    3Q01     4Q01
121.3                                  72.9        466.4    121.2     58.9     (33.1)   72.1    141.0    0.0     (1.0)   (1.0)   (3.0)    2.0    (1.0)   107.3    370.0          The figures are for each quarter alone,
                                                                                                                                                                                 not year-to-date.
  1Q02                                 2Q02        3Q02      4Q02     1Q03     2Q03     3Q03    4Q03     1Q04    2Q04    3Q04    4Q04     1Q05   2Q05    3Q05     4Q05
                                                                                                                                                                                 Data Source: Call Reports.
  75.8                                 28.2        59.0      73.7     25.3     29.9     32.3    83.7     46.7    34.9    92.2     5.4     1.3    14.2    23.0      8.3


  1Q06                                 2Q06        3Q06      4Q06     1Q07     2Q07     3Q07    4Q07     1Q08    2Q08    3Q08    4Q08     1Q09   2Q09    3Q09     4Q09
       3.6                                (7.0)    (16.0)    (5.8)    (2.9)    (9.2)    119.4   30.7     14.8   120.0    91.9    846.7   218.1   166.3   213.9    159.3


  1Q10                                 2Q10        3Q10      4Q10     1Q11     2Q11     3Q11    4Q11     1Q12   2Q12
103.5                                 118.6        284.5    111.0    1598.0    71.0     89.0    68.8     76.3    54.5
                                                                                                                                                        Graph 5D
                         Quarterly (Charge-Offs)/Recoveries from Derivatives
                                       Insured U.S. Commercial Banks and Savings Associations

                                                  Compared with Holding Companies

                                                           1Q02 – 2Q12
	

         1750                                            Banks
                                                         Holding Companies
         1550

         1350

         1150

           950

           750

           550

           350

           150

           (50)
                  1Q02          1Q03      1Q04      1Q05          1Q06       1Q07           1Q08      1Q09      1Q10          1Q11           1Q12



$ in Millions            1Q02      2Q02    3Q02   4Q02     1Q03     2Q03     3Q03    4Q03      1Q04    2Q04    3Q04    4Q04
                                                                                                                                     Note:
                Banks     68        25      70     70       30       26       32      10       120      (39)    92      5
     Holding Companies    76        21      66     74       25       33       31      128       51       39     93       9           The figures are for each
                                                                                                                                     quarter alone, not year-to-date.
                         1Q05      2Q05    3Q05   4Q05     1Q06     2Q06     3Q06    4Q06      1Q07    2Q07    3Q07    4Q07
                Banks     1         14      23     8        4        (7)      (16)    (6)       (3)     9      119      31           Data Source: Call Reports and
     Holding Companies    55         4      45     18       35        5       (28)    (7)       (3)     10      119     32           Y-9
                         1Q08      2Q08    3Q08   4Q08     1Q09     2Q09     3Q09    4Q09      1Q10    2Q10    3Q10    4Q10
                Banks     15       120      92    847      218      166      214     159       104     119     284     111
     Holding Companies    15        120     93    1191     1570      477      266     164       122     288     181     87

                         1Q11      2Q11    3Q11   4Q11     1Q12     2Q12
                Banks    1598       71      89     69       76       55
     Holding Companies   1617       68      92     73       85       64
                                                                                                                                                                                                                        Graph 6A
	

                    Quarterly Trading Revenues Cash & Derivative Positions
                                         Insured U.S. Commercial Banks and Savings Associations

                                                             1Q07 – 2Q12
	

                                                                                                                                                                                                                15,000
                           Credit                               Comdty & Other
                           Equity                               Foreign Exchange
                           Interest Rate                       Total Trading Revenue
                                                                                                                                                                                                                10,000



                                                                                                                                                                                                                5,000




                                                                                                                                                                                                                        $ Millions
                                                                                                                                                                                                                0



                                                                                                                                                                                                                -5,000



                                                                                                                                                                                                                -10,000



                                                                                                                                                                                                                -15,000
                 1Q07 2Q07 3Q07 4Q07 1Q08 2Q08 3Q08 4Q08 1Q09 2Q09 3Q09 4Q09 1Q10 2Q10 3Q10 4Q10 1Q11 2Q11 3Q11 4Q11 1Q12 2Q12




$ in Millions                        1Q07      2Q07    3Q07      4Q07     1Q08      2Q08     3Q08      4Q08     1Q09     2Q09     3Q09      4Q09      1Q10    2Q10     3Q10      4Q10    1Q11    2Q11    3Q11    4Q11          1Q12     2Q12
 Interest Rate                      2,413     2,950   2,896      (357)   1,853     1,449     984     (3,420)   9,099    1,108    5,451     (1,188)    333     145     4,215     1,469   4,587   4,320   2,125    253        5,627      2,731
 Foreign Exchange                   1,831     1,265   2,005     1,873    2,083     2,096   3,090      4,093    2,437    2,132    (1,535)   2,560     3,962   4,261    (1,047)   1,905     35     491    2,595   1,940       1,505      2,120
 Equity                             1,735     1,024      27       205       (15)    183     (954)    (1,229)   1,042     (279)     154       144      965     378       371      338     743     736    1,442   (119)            260   1,010
 Comdty & Other                       175       25        7        88      261      601      342        338      344      281      446       389      297      (25)      94      252     315     304     558     258             412     219
 Credit                               878      883    (2,655) (11,780) (3,461) (2,715)     2,544     (8,958) (3,154)    1,930    1,204        27     2,707   1,840      543     (485)   1,729   1,507   1,764    193      (1,444)      (4,104)
 Total Trading Revenue*             7,032     6,146   2,281    (9,970)     721     1,614   6,005     (9,176)   9,768    5,172    5,720     1,932     8,263   6,600    4,176     3,479   7,409   7,357   8,484   2,525       6,359      1,976




                *The trading revenue figures above are for cash and derivative activities. Revenue figures are for each quarter alone, not year-to-date.
	

                Note: Numbers may not add due to rounding.
	

                Data Source: Call Reports
	
                                                                                                                                                                                                            Graph 6B
                 Quarterly Trading Revenue as a Percentage of Gross Revenue

                                  Cash & Derivative Positions

       Top 4 Insured U.S. Commercial Banks and Savings Associations by Derivative Holdings
                                         1Q09 – 2Q12
                                                                                                                                          %
                                                                %
                 JPMorgan Chase Bank, N.A                                                     Bank of America, N.A                            15
                                                                20


                                                                15
                                                                                                                                              10

                                                                10
                                                                                                                                              5
                                                                5                                                                                                     Trading Revenue to

                                                                0
                                                                                                                                              0
                                                                                                                                                                      Gross Revenue (%)*

                                                                                                                                                                                               Goldman
                                                                -5                                                                            -5               JPMC     Bank of       Citi-                  Top 4  All
    1Q 2Q 3Q 4Q 1Q 2Q 3Q 4Q 1Q 2Q 3Q 4Q 1Q 2Q                                                                                                       (%)        Bank     America       bank
                                                                                                                                                                                                Sachs
                                                                                1Q 2Q 3Q 4Q 1Q 2Q 3Q 4Q 1Q 2Q 3Q 4Q 1Q 2Q
                                                                                                                                                                                                Bank
                                                                                                                                                                                                            Banks* Banks
         2009             2010             2011         2012                          2009            2010             2011        2012
                                                                                                                                                    1Q09        13           8          8         69          12     6
                                                                                                                                                    2Q09         9          -1         -2         63           4     3
                                                                                                                                                    3Q09        14           3         -2         59           5     4
                                                                                                                                                    4Q09         3           2        -12         72           1     1
                                                                                                                                                    1Q10        16           6         12         71          10     5
                         Citibank, N.A.                         %                                                                                   2Q10        12           4         14         53          11     4
                                                                                                                                          %
                                                                    20                    Goldman Sachs Bank USA                                    3Q10         5           5          5         61           6     3
                                                                                                                                          80        4Q10         6           2          2          7           4     2
                                                                                                                                                    1Q11        14           6          9         54          11     5
                                                                    10
                                                                                                                                          60        2Q11        14           6         11         58          12     5
                                                                                                                                                    3Q11        15           9         15         57          14     6
                                                                    0                                                                               4Q11         4           0          1         31           3     2
                                                                                                                                          40        1Q12        10           1         10         65           9     4
                                                                                                                                                    2Q12        -3          4          5          12           2     1
                                                                    -10
                                                                                                                                          20       *Note: Quarters prior to 1Q12 reflect the top 5 Banks.


                                                                    -20                                                                   0
     1Q 2Q 3Q 4Q 1Q 2Q 3Q 4Q 1Q 2Q 3Q 4Q 1Q 2Q                                  1Q 2Q 3Q 4Q 1Q 2Q 3Q 4Q 1Q 2Q 3Q 4Q 1Q 2Q
          2009                2010          2011         2012                        2009             2010            2011        2012




*The trading revenue figures above are for cash and derivative activities. Revenue figures are quarterly, not year-to-date numbers.
	

Note: Gross Revenue equals interest income plus non-interest income.
	

Data Source: Call Reports
	
                                                                                                                                                                         Graph 7
                             Notional Amounts of Interest Rate and

                            Foreign Exchange Contracts by Maturity

                        Insured U.S. Commercial Banks and Savings Associations

                                 Year-ends 2001 – 2011, Quarterly 2012
	

                                                                                                                                                                160,000
                            Interest Rate: > 5 yrs                                                                                               150,000        140,000
                                     Interest Rate: > 5 yrs
                            Interest Rate: 1-5 yr                                                                                                               120,000
                                     Interest Rate: 1-5 yr
                                     Rate: < 1 yr
                            Interest Interest Rate: < 1 yr                                                                                       100,000        100,000




                                                                                                                                                                          $ Billions
                                                                                                                                                                80,000
                                                                                                                                                 50,000
                                                                                                                                                                60,000

                                                                                                                                                 0              40,000
                   01Q4        02Q4         03Q4          04Q4      05Q4          06Q4          07Q4          08Q4          09Q4       10Q1                     20,000
                                                                                                                                                                0
        4Q01     4Q02       4Q03        4Q04         4Q05        4Q06      4Q07          4Q08        4Q09        4Q10         4Q11       1Q12        2Q12



                                                                                                                                                                 25,000
                    Foreign Exchange: > 5 yrs
                                                                                                                                                                 20,000
                    Foreign Exchange: 1-5 yr




                                                                                                                                                                          $ Billions
                    Foreign Exchange: < 1 yr                                                                                                                     15,000

                                                                                                                                                                 10,000

                                                                                                                                                                 5,000

                                                                                                                                                                 0
       4Q01      4Q02       4Q03        4Q04         4Q05        4Q06      4Q07          4Q08          4Q09          4Q10      4Q11       1Q12        2Q12



$ in Billions    4Q01   4Q02   4Q03   4Q04   4Q05   4Q06   4Q07                    4Q08      4Q09        4Q10         4Q11     1Q12     2Q12         Note: Figures above
IR: < 1 yr      10,357 12,972 13,573 15,914 18,482 29,546 39,083                  47,147    80,976      90,838       87,805   85,882   82,505        exclude foreign exchange
IR: 1-5 yr      11,809 14,327 20,400 25,890 27,677 31,378 37,215                  47,289    33,632      33,491       32,745   31,691   30,337        contracts with an original
                                                                                                                                                     maturity of 14 days or less,
IR: > 5 yrs      7,523  9,733 13,114 16,489 19,824 23,270 27,720                  36,780    26,144      24,303       24,163   22,691   21,796        futures contracts, written
FX: < 1 yr       3,785  4,040  4,470  5,348  5,681  7,690 11,592                  10,868    10,416      14,467       17,538   18,849   18,604        options, basis swaps, and
FX: 1-5 yr         661    829  1,114  1,286  1,354  1,416  1,605                   2,171     2,449       2,433        3,088    3,018    2,926        any other contracts not
                                                                                                                                                     subject to risk-based capital
FX: > 5 yrs        492    431    577    760    687    593    619                   1,086     1,344       1,289        1,502    1,350    1,423        requirements.

                                                                                                                                                     Data Source: Call Reports
                                                                                                                                                                    Graph 8
                                           Notional Amounts of Gold and

                                        Precious Metals Contracts by Maturity

                               Insured U.S. Commercial Banks and Savings Associations

                                        Year-ends 2001 – 2011, Quarterly 2012
	
                                                                                                                                                                250
                Gold: > 5 yrs
                Gold: 1-5 yr                                                                                                                                    200
                Gold: < 1 yr
                                                                                                                                                                150




                                                                                                                                                                      $ Billions
                                                                                                                                                                100

                                                                                                                                                                50

                                                                                                                                                                0
    4Q01           4Q02            4Q03         4Q04       4Q05     4Q06        4Q07    4Q08           4Q09       4Q10    4Q11          1Q12        2Q12




                                                                                                                                                                40
                Prec Met: > 5 yrs                                                                                                                               35
                Prec Met: 1-5 yr                                                                                                                                30
                Prec Met: < 1 yr                                                                                                                                25




                                                                                                                                                                      $ Billions
                                                                                                                                                                20
                                                                                                                                                                15
                                                                                                                                                                10
                                                                                                                                                                5
                                                                                                                                                                0
    4Q01           4Q02            4Q03         4Q04       4Q05     4Q06        4Q07     4Q08          4Q09       4Q10     4Q11         1Q12        2Q12


                                                                                                                                          Note: Figures above exclude
$ in Billions                   4Q01      4Q02    4Q03     4Q04   4Q05   4Q06   4Q07   4Q08     4Q09    4Q10      4Q11   1Q12     2Q12    foreign exchange contracts
Gold: < 1 yr                       31      36      40       35     42      40     72    78       74      162       94    121      100     with an original maturity of 14
                                                                                                                                          days or less, futures contracts,
Gold: 1-5 yr                       26      28      32       31     27      36     37    27       25       29       28     31       30
                                                                                                                                          written options, basis swaps,
Gold: > 5 yrs                       7       8          5     2      1       1      3     2        1           1     1      1        0     and any other contracts not
Prec Met: < 1 yr                    2       3          4     4      9      10     11     8       12       17       21     28       31     subject to risk-based capital
                                                                                                                                          requirements.
Prec Met: 1-5 yr                    0       0          0     1      1       2      2     2        1           2     5      5        6
Prec Met: > 5 yrs                   0       0          0     0      0       0      0     0        0           0     0      0        0     Data Source: Call Reports
                                                                                                                                                                 Graph 9
                                      Notional Amounts of Commodity and

                                          Equity Contracts by Maturity

                             Insured U.S. Commercial Banks and Savings Associations 

                                      Year-ends 2001 – 2011, Quarterly 2012
	
                                                                                                                                                         1,200

                                                                                                                                                         1,000
         Oth Comm: > 5 yrs   Oth Comm: 1-5 yr
                                                                                                                                                         800
         Oth Comm: < 1 yr




                                                                                                                                                                  $ Billions
                                                                                                                                                         600

                                                                                                                                                         400

                                                                                                                                                         200

                                                                                                                                                         0
       4Q01        4Q02       4Q03            4Q04    4Q05          4Q06     4Q07     4Q08          4Q09      4Q10     4Q11     1Q12        2Q12




                                                                                                                                                     2,400
         Equity: > 5 yrs     Equity: 1-5 yr
                                                                                                                                                     2,000
         Equity: < 1 yr                                                                                                                              1,600




                                                                                                                                                                  $ Billions
                                                                                                                                                     1,200
                                                                                                                                                     800
                                                                                                                                                     400
                                                                                                                                                     0
       4Q01        4Q02       4Q03         4Q04      4Q05       4Q06        4Q07     4Q08      4Q09          4Q10     4Q11    1Q12       2Q12



                                                                                                                                       Note: Figures above exclude
$ in Billions                4Q01 4Q02 4Q03 4Q04             4Q05     4Q06 4Q07     4Q08     4Q09     4Q10     4Q11    1Q12   2Q12     foreign exchange contracts
Oth Comm: < 1 yr              28      55        41    68     165      185    205    179      176      203      261     333    312      with an original maturity of 14
                                                                                                                                       days or less, futures contracts,
Oth Comm: 1-5 yr              23      35       102   206     714      235    298    233      198      209      209     167    169      written options, basis swaps,
Oth Comm: > 5 yrs              2       9        14    40     175       20     23     43       33       25       46      20     24      and any other contracts not
                                                                                                                                       subject to risk-based capital
Equity: < 1 yr               124     127       197   273     321      341    473    409      312      296      427     539    598      requirements.
Equity: 1-5 yr               195     249       674   736    1,428     221    297    256      228      191      210     242    263
                                                                                                                                       Data Source: Call Reports
Equity: > 5 yrs               23      25        84   140     383       45     70     72       82       85       94      89     81
                                                                                                                                                                                                                          Graph 10

      Notional Amounts of Credit Derivative Contracts by Credit Quality and Maturity

                 Insured U.S. Commercial Banks and Savings Associations 

                                      1Q07 – 2Q12
	
                                                                                                                                                                                                                20,000
                                                                  Sub-Investment Grade                                           Investment Grade
                                                                                                                                                                                                                18,000

                                                                                                                                                                                                                16,000

                                                                                                                                                                                                                14,000

                                                                                                                                                                                                                12,000




                                                                                                                                                                                                                           $ Billions
                                                                                                                                                                                                                10,000

                                                                                                                                                                                                                8,000

                                                                                                                                                                                                                6,000

                                                                                                                                                                                                                4,000

                                                                                                                                                                                                                2,000

                                                                                                                                                                                                                0
                  1Q07 2Q07 3Q07 4Q07 1Q08 2Q08 3Q08 4Q08 1Q09 2Q09 3Q09 4Q09 1Q10 2Q10 3Q10 4Q10 1Q11 2Q11 3Q11 4Q11 1Q12 2Q12



$ Billions                                      1Q07    2Q07   3Q07   4Q07    1Q08     2Q08    3Q08    4Q08     1Q09     2Q09    3Q09     4Q09     1Q10    2Q10     3Q10     4Q10     1Q11    2Q11     3Q11     4Q11      1Q12          2Q12
Investment Grade: < 1 yr                          281    328    307     304    319      685      839      741     765      997      869    1,079     985      966      870      856     905    1,002    1,119    1,559    1,607         1,921
Investment Grade: 1-5 yr                        2,768 3,359 3,545 3,860 4,088         7,130    6,852    6,698    5,527   5,520    5,202    5,888   6,229    6,320    5,800    5,731   5,927    6,564    6,507    5,963    5,519         5,567
Investment Grade: > 5 yrs                       1,917 2,210 2,154 2,138 2,127         3,197    3,345    2,900    2,432   2,221    2,087    2,063   2,275    1,767    1,645    1,446   1,614    1,586    1,699    1,220    1,386         1,104
   Subtotal Investment Grade                    4,966 5,898 6,006 6,302 6,534 11,012 11,036 10,339               8,724   8,739    8,158    9,030   9,489    9,053    8,315    8,033   8,447    9,151    9,326    8,742    8,513         8,592
Sub-Investment Grade: < 1 yr                      164    144    158     149    134      343      400      457     513      615      575      635     574      587      753      791     833      939    1,024    1,335    1,290         1,353
Sub-Investment Grade: 1-5 yr                    1,201 1,405 1,416 1,400 1,608         2,849    3,058    3,472    3,660   3,098    3,167    3,248   3,201    3,267    4,004    4,073   4,217    4,056    4,131    3,797    3,413         3,139
Sub-Investment Grade: > 5 yrs                     537    629    621     543    672    1,160    1,394    1,388    1,492     989    1,086    1,121   1,101      968    1,400    1,254   1,401    1,081    1,180       885      835          541
   Subtotal Sub-Investment Grade                1,901 2,178 2,195 2,092 2,414         4,353    4,852    5,318    5,665   4,701    4,827    5,005   4,876    4,823    6,157    6,118   6,452    6,076    6,336    6,017    5,538         5,032
   Overall Total                                6,867 8,075 8,201 8,394 8,948 15,365 15,888 15,656 14,389 13,440 12,986 14,036 14,364 13,876 14,472 14,150 14,899 15,227 15,661 14,759 14,051 13,624




             Note: Figures above exclude foreign exchange contracts with an original maturity of 14 days or less, futures contracts, written options, basis swaps, and any other contracts not subject to risk-based capital 

             requirements.
	

             Notional amounts as reported in Schedules RC-L and RC-R of Call reports. As of March 31, 2006, the Call Report began to include maturity breakouts for credit derivatives.
	

             Data Source: Call Reports
	
TABLE 1

                                                                               NOTIONAL AMOUNT OF DERIVATIVE CONTRACTS

                                                           TOP 25 COMMERCIAL BANKS, SAVINGS ASSOCIATIONS AND TRUST COMPANIES IN DERIVATIVES

                                                                                        JUNE 30, 2012, $ MILLIONS





                                                                                                                                                                                                                TOTAL
                                                                                                                         TOTAL           TOTAL             TOTAL            TOTAL            TOTAL            CREDIT
                                                                                    TOTAL              TOTAL         FUTURES         OPTIONS         FORWARDS              SWAPS         OPTIONS         DERIVATIVES              SPOT
RANK       BANK NAME                                            STATE             ASSETS        DERIVATIVES         (EXCH TR)       (EXCH TR)               (OTC)           (OTC)            (OTC)              (OTC)                FX
1          JPMORGAN CHASE BANK NA                               OH              $1,812,837        $69,238,349        $1,153,777      $1,679,275       $12,088,416      $38,953,299       $9,346,587         $6,016,995         $768,692
2          CITIBANK NATIONAL ASSN                               SD               1,347,841         52,150,970           680,567         707,590         6,448,783       32,630,778        8,636,780          3,046,472        1,191,374
3          BANK OF AMERICA NA                                   NC               1,445,093         44,405,372         1,373,960         235,104        10,066,212       26,283,299        3,056,512          3,390,285          392,838
4          GOLDMAN SACHS BANK USA                               NY                 114,693         41,580,395         1,018,261         826,914         3,460,464       28,810,776        6,982,214            481,766            4,021
5          HSBC BANK USA NATIONAL ASSN                          VA                 193,995          4,535,794            82,072         102,346           813,962        2,793,846          167,697            575,870           83,984
6          WELLS FARGO BANK NA                                  SD               1,180,190          3,590,850           221,824          51,731           875,057        1,914,889          460,989             66,360           18,719
7          MORGAN STANLEY BANK NA                               UT                  69,390          2,481,621             5,303              12           449,318        1,285,759          720,247             20,982          128,374
8          BANK OF NEW YORK MELLON                              NY                 259,069          1,296,013            22,367          12,968           351,485          677,825          231,147                221           41,916
9          STATE STREET BANK&TRUST CO                           MA                 196,960            867,150             4,977               0           790,210            2,930           69,005                 28           42,804
10         PNC BANK NATIONAL ASSN                               DE                 291,824            392,231            54,103          47,550            28,307          224,863           33,993              3,415              851
11         SUNTRUST BANK                                        GA                 172,028            273,983            27,800          15,386            15,507          161,771           49,012              4,507               99
12         NORTHERN TRUST CO                                    IL                  94,216            225,770                 0               0           215,280           10,310              104                 76           14,256
13         STANDARD CHARTERED BANK PLC                          NY                  48,377            145,384                 0               0           134,888            2,566            7,930                  0            4,337
14         U S BANK NATIONAL ASSN                               OH                 342,823            121,074               787           2,200            53,829           49,489           11,721              3,048            1,448
15         REGIONS BANK                                         AL                 121,330            120,933             5,211               0            52,213           59,687            3,083                739               78
16         KEYBANK NATIONAL ASSN                                OH                  83,966             81,161             2,444               0            14,741           55,688            5,675              2,613              918
17         BRANCH BANKING&TRUST CO                              NC                 173,678             77,013               646               0            16,383           39,015           20,968                  0               50
18         FIFTH THIRD BANK                                     OH                 115,041             72,498               179               0            14,407           33,068           23,527              1,317              862
19         TD BANK NATIONAL ASSN                                DE                 195,943             69,680                 0               0              9,633          57,714            1,594                740                7
20         UNION BANK NATIONAL ASSN                             CA                  87,275             58,790             4,426               0              2,958          36,655           14,715                 35              612
21         RBS CITIZENS NATIONAL ASSN                           RI                 106,894             36,567                 0               0              7,573          25,984            2,122                887               39
22         BOKF NATIONAL ASSN                                   OK                  25,415             35,168               555             915            28,193            3,139            2,367                  0               10
23         CAPITAL ONE NATIONAL ASSN                            VA                 158,240             33,310               105               0                720          31,735               44                705                0
24         BMO HARRIS BANK NA                                   IL                  92,222             30,959                 0               0              1,294          26,670            2,905                 90              120
25         ALLY BANK                                            UT                  87,336             28,838                 0               0              8,239          13,216            7,383                  0                0

TOP 25 COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES                             $8,816,679        $221,949,873      $4,659,365       $3,681,991       $35,948,073     $134,184,972      $29,858,322         $13,617,151      $2,696,407
OTHER COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES                               3,525,137             521,665          20,420            1,454           120,634          297,514           74,021               7,622           2,007
TOTAL COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES                              12,341,817         222,471,538       4,679,785        3,683,445        36,068,706      134,482,486       29,932,342          13,624,773       2,698,415


Note: Credit derivatives have been included in the sum of total derivatives. Credit derivatives have been included as an "over the counter" category, although the Call Report does not differentiate by market currently.
Note: Before the first quarter of 1995 total derivatives included spot foreign exchange. Beginning in the first quarter, 1995, spot foreign exchange was reported separately.
Note: Numbers may not add due to rounding.
Data source: Call Reports, schedule RC-L
TABLE 2

                                                                                         NOTIONAL AMOUNT OF DERIVATIVE CONTRACTS

                                                                                          TOP 25 HOLDING COMPANIES IN DERIVATIVES

                                                                                                  JUNE 30, 2012, $ MILLIONS





                                                                                                                                                                                                               CREDIT
                                                                                         TOTAL              TOTAL         FUTURES         OPTIONS        FORWARDS                 SWAPS       OPTIONS     DERIVATIVES          SPOT
RANK      HOLDING COMPANY                                            STATE              ASSETS       DERIVATIVES         (EXCH TR)       (EXCH TR)             (OTC)               (OTC)         (OTC)           (OTC)            FX
1         JPMORGAN CHASE & CO.                                       NY              $2,290,146        $70,016,815       $1,415,932      $1,792,690       $12,637,688         $38,838,048    $9,317,438      $6,015,019     $768,089
2         BANK OF AMERICA CORPORATION                                NC               2,162,083         65,068,987         2,362,829         931,730       13,275,701          39,717,510     5,451,299       3,329,919      324,267
3         CITIGROUP INC.                                             NY               1,916,451         51,810,864           801,690       2,626,202        6,988,863          30,016,672     8,504,534       2,872,903    1,138,915
4         MORGAN STANLEY                                             NY                 748,517         47,910,072           144,648       1,042,567        5,589,664          30,933,876     5,892,473       4,306,844      470,711
5         GOLDMAN SACHS GROUP, INC., THE                             NY                 948,981         45,791,104         1,981,529       1,909,256        5,034,478          24,319,171     8,695,104       3,851,566      227,360
6         HSBC NORTH AMERICA HOLDINGS INC.                           NY                 317,482          4,510,288            84,392         104,436          814,988           2,758,964       171,723         575,785       83,968
7         WELLS FARGO & COMPANY                                      CA               1,336,204          3,550,458           232,760          56,199          899,716           1,845,599       455,142          61,042       18,721
8         BANK OF NEW YORK MELLON CORPORATION, THE                   NY                 330,490          1,278,142            23,189          14,154          350,498             658,978       231,102             221       41,961
9         STATE STREET CORPORATION                                   MA                 200,369            868,915             4,980               0          790,223               4,680        69,005              28       42,804
10        ALLY FINANCIAL INC.                                        MI                 178,560            501,015            27,337           1,386           73,629             377,396        21,267               0            0
11        PNC FINANCIAL SERVICES GROUP, INC., THE                    PA                 299,712            401,530            54,798          47,550           28,418             233,355        33,993           3,415          851
12        METLIFE, INC.                                              NY                 825,188            295,104            22,966               0           30,447             119,109       108,779          13,803            0
13        SUNTRUST BANKS, INC.                                       GA                 178,307            275,366            27,823          15,386           15,507             160,771        51,372           4,507           99
14        NORTHERN TRUST CORPORATION                                 IL                  94,456            226,297                 0               0          215,280              10,910            32              76       14,256
15        AMERIPRISE FINANCIAL, INC.                                 MN                 135,271            127,888             1,854           3,912               97              65,125        56,901               0            0
16        REGIONS FINANCIAL CORPORATION                              AL                 122,345            122,423             5,211               0           52,213              61,177         3,083             739           78
17        U.S. BANCORP                                               MN                 353,136            121,236               787           2,200           53,829              49,994        11,721           2,705        1,448
18        TD BANK US HOLDING COMPANY                                 ME                 207,333             91,167                 0               0           18,271              70,563         1,594             740            7
19        KEYCORP                                                    OH                  86,741             84,457             2,444               0           14,741              57,882         6,777           2,613          918
20        BB&T CORPORATION                                           NC                 178,529             77,013               646               0           16,383              39,015        20,968               0           50
21        FIFTH THIRD BANCORP                                        OH                 117,543             76,324               179               0           14,407              36,895        23,527           1,317          862
22        UNIONBANCAL CORPORATION                                    CA                  87,940             58,790             4,426               0            2,958              36,655        14,715              35          612
23        CAPITAL ONE FINANCIAL CORPORATION                          VA                 296,698             55,393               105               4            5,847              48,688            44             705           10
24        AMERICAN EXPRESS COMPANY                                   NY                 146,890             45,313                 0               0           24,756              20,541            16               0        1,987
25        RBS CITIZENS FINANCIAL GROUP, INC.                         RI                 129,314             44,585                 0               0            7,573              33,354         2,619           1,040           39

TOP 25 HOLDING COMPANIES WITH DERIVATIVES                                           $13,688,688       $293,409,546       $7,200,525      $8,547,672       $46,956,174        $170,514,926   $39,145,229     $21,045,020   $3,138,012


Note: Currently, the Y-9 report does not differentiate credit derivatives by contract type. Credit derivatives have been included in the sum of total derivatives.
Note: Prior to the first quarter of 2005, total derivatives included spot foreign exchange. Beginning in that quarter, spot foreign exchange has been reported separately.
Note: Numbers may not add due to rounding.
Data source: Consolidated Financial Statements for Bank Holding Companies, FR Y- 9, schedule HC-L
TABLE 3

                                                                                                  DISTRIBUTION OF DERIVATIVE CONTRACTS

                                                                             TOP 25 COMMERCIAL BANKS, SAVINGS ASSOCIATIONS AND TRUST COMPANIES IN DERIVATIVES

                                                                                                          JUNE 30, 2012, $ MILLIONS





                                                                                                                                                           PERCENT              PERCENT          PERCENT               PERCENT             PERCENT             PERCENT
                                                                                                                     TOTAL             TOTAL           EXCH TRADED               OTC             INT RATE         FOREIGN EXCH               OTHER               CREDIT
RANK      BANK NAME                                                                      STATE                      ASSETS       DERIVATIVES             CONTRACTS          CONTRACTS          CONTRACTS            CONTRACTS            CONTRACTS          DERIVATIVES
                                                                                                                                                                (%)               (%)                 (%)                   (%)                (%)                  (%)
1         JPMORGAN CHASE BANK NA                                                         OH                       $1,812,837        $69,238,349                  4.1              95.9                75.7                 12.3                 3.3                  8.7
2         CITIBANK NATIONAL ASSN                                                         SD                        1,347,841         52,150,970                  2.7              97.3                81.5                 11.6                 1.1                  5.8
3         BANK OF AMERICA NA                                                             NC                        1,445,093         44,405,372                  3.6              96.4                80.9                 10.8                 0.6                  7.6
4         GOLDMAN SACHS BANK USA                                                         NY                          114,693         41,580,395                  4.4              95.6                94.1                   4.7                0.0                  1.2
5         HSBC BANK USA NATIONAL ASSN                                                    VA                          193,995          4,535,794                  4.1              95.9                66.4                 19.4                 1.5                 12.7
6         WELLS FARGO BANK NA                                                            SD                        1,180,190          3,590,850                  7.6              92.4                89.2                   4.7                4.3                  1.8
7         MORGAN STANLEY BANK NA                                                         UT                           69,390          2,481,621                  0.2              99.8                 0.3                 98.9                 0.0                  0.8
8         BANK OF NEW YORK MELLON                                                        NY                          259,069          1,296,013                  2.7              97.3                72.1                 27.1                 0.8                  0.0
9         STATE STREET BANK&TRUST CO                                                     MA                          196,960            867,150                  0.6              99.4                 1.2                 94.5                 4.3                  0.0
10        PNC BANK NATIONAL ASSN                                                         DE                          291,824            392,231                 25.9              74.1                96.3                   2.8                0.0                  0.9
11        SUNTRUST BANK                                                                  GA                          172,028            273,983                 15.8              84.2                85.4                   1.9               11.0                  1.6
12        NORTHERN TRUST CO                                                              IL                           94,216            225,770                  0.0             100.0                 3.7                 96.2                 0.0                  0.0
13        STANDARD CHARTERED BANK PLC                                                    NY                           48,377            145,384                  0.0             100.0                 1.5                 98.3                 0.2                  0.0
14        U S BANK NATIONAL ASSN                                                         OH                          342,823            121,074                  2.5              97.5                80.7                 16.7                 0.0                  2.5
15        REGIONS BANK                                                                   AL                          121,330            120,933                  4.3              95.7                98.5                   0.6                0.3                  0.6
16        KEYBANK NATIONAL ASSN                                                          OH                           83,966             81,161                  3.0              97.0                88.6                   7.4                0.7                  3.2
17        BRANCH BANKING&TRUST CO                                                        NC                          173,678             77,013                  0.8              99.2                98.8                   1.2                0.0                  0.0
18        FIFTH THIRD BANK                                                               OH                          115,041             72,498                  0.2              99.8                69.9                 23.7                 4.6                  1.8
19        TD BANK NATIONAL ASSN                                                          DE                          195,943             69,680                  0.0             100.0                83.1                 15.8                 0.0                  1.1
20        UNION BANK NATIONAL ASSN                                                       CA                           87,275             58,790                  7.5              92.5                76.7                   7.4               15.8                  0.1
21        RBS CITIZENS NATIONAL ASSN                                                     RI                          106,894             36,567                  0.0             100.0                79.5                 18.1                 0.0                  2.4
22        BOKF NATIONAL ASSN                                                             OK                           25,415             35,168                  4.2              95.8                87.7                   0.8               11.5                  0.0
23        CAPITAL ONE NATIONAL ASSN                                                      VA                          158,240             33,310                  0.3              99.7                97.7                   0.2                0.0                  2.1
24        BMO HARRIS BANK NA                                                             IL                           92,222             30,959                  0.0             100.0                89.2                   3.7                6.8                  0.3
25        ALLY BANK                                                                      UT                           87,336             28,838                  0.0             100.0                95.8                   0.0                4.2                  0.0

TOP 25 COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES                                                               $8,816,679       $221,949,873             $8,341,356      $213,608,517        $178,393,449            $26,483,790            $3,455,484     $13,617,151
OTHER COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES                                                                 3,525,137            521,665                 21,874           499,791             424,834                 66,039                23,169           7,622
TOTAL FOR COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES                                                            12,341,817        222,471,538              8,363,230       214,108,308         178,818,283             26,549,829             3,478,653      13,624,773

                                                                                                                                            (%)                    (%)                (%)                (%)                    (%)                  (%)             (%)
TOP 25 COMMERCIAL BANKS, SAs & TCs: % OF TOTAL COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES                                                 99.8                    3.7               96.0               80.2                   11.9                  1.6             6.1
OTHER COMMERCIAL BANKS, SAs & TCs: % OF TOTAL COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES                                                   0.2                    0.0                0.2                0.2                    0.0                  0.0             0.0
TOTAL FOR COMMERCIAL BANKS, SAs & TCs: % OF TOTAL COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES                                             100.0                    3.8               96.2               80.4                   11.9                  1.6             6.1


Note: Currently, the Call Report does not differentiate credit derivatives by over the counter or exchange traded. Credit derivatives have been included in the "over the counter" category as well as in the sum of total derivatives here.
Note: "Foreign Exchange" does not include spot fx.

Note: "Other" is defined as the sum of commodity and equity contracts.
Note: Numbers may not add due to rounding.
Data source: Call Reports, schedule RC-L
TABLE 4

                                                                     CREDIT EQUIVALENT EXPOSURES

                                           TOP 25 COMMERCIAL BANKS, SAVINGS ASSOCIATIONS AND TRUST COMPANIES IN DERIVATIVES

                                                                        JUNE 30, 2012, $ MILLIONS





                                                                                                                               BILATERALLY             TOTAL CREDIT          (%)
                                                                                                                      TOTAL NETTED CURRENT POTENTIAL      EXPOSURE TOTAL CREDIT
                                                                                     TOTAL       TOTAL          RISK-BASED          CREDIT    FUTURE       FROM ALL    EXPOSURE
RANK       BANK NAME                                             STATE             ASSETS DERIVATIVES              CAPITAL        EXPOSURE EXPOSURE      CONTRACTS    TO CAPITAL
1          JPMORGAN CHASE BANK NA                                OH              $1,812,837 $69,238,349             $139,907        $162,867 $181,892        $344,759         246
2          CITIBANK NATIONAL ASSN                                SD               1,347,841  52,150,970              136,549          72,809   164,919        237,728         174
3          BANK OF AMERICA NA                                    NC               1,445,093  44,405,372              145,695          66,064   139,939        206,003         141
4          GOLDMAN SACHS BANK USA                                NY                 114,693  41,580,395               19,974          27,757   119,715        147,472         738
5          HSBC BANK USA NATIONAL ASSN                           VA                 193,995   4,535,794               21,579           7,015    30,086         37,101         172
6          WELLS FARGO BANK NA                                   SD               1,180,190   3,590,850              116,931          29,613    19,656         49,269          42
7          MORGAN STANLEY BANK NA                                UT                  69,390   2,481,621               10,769             350    14,179         14,529         135
8          BANK OF NEW YORK MELLON                               NY                 259,069   1,296,013               13,568           6,490     5,257         11,747          87
9          STATE STREET BANK&TRUST CO                            MA                 196,960     867,150               13,576           4,821     7,374         12,195          90
10         PNC BANK NATIONAL ASSN                                DE                 291,824     392,231               34,710           3,304       850          4,154          12
11         SUNTRUST BANK                                         GA                 172,028     273,983               17,726           2,868     1,539          4,407          25
12         NORTHERN TRUST CO                                     IL                  94,216     225,770                7,859           2,462     2,322          4,785          61
13         STANDARD CHARTERED BANK PLC                           NY                  48,377     145,384                    0               0         0              0           0
14         U S BANK NATIONAL ASSN                                OH                 342,823     121,074               34,706           1,373       245          1,617           5
15         REGIONS BANK                                          AL                 121,330     120,933               14,446             948       235          1,183           8
16         KEYBANK NATIONAL ASSN                                 OH                  83,966      81,161               11,090           1,066       136          1,202          11
17         BRANCH BANKING&TRUST CO                               NC                 173,678      77,013               17,078           1,569       402          1,971          12
18         FIFTH THIRD BANK                                      OH                 115,041      72,498               14,628           1,714       711          2,425          17
19         TD BANK NATIONAL ASSN                                 DE                 195,943      69,680               14,613           2,575       754          3,329          23
20         UNION BANK NATIONAL ASSN                              CA                  87,275      58,790               10,130           1,036       525          1,561          15
21         RBS CITIZENS NATIONAL ASSN                            RI                 106,894      36,567               11,012           1,122       284          1,406          13
22         BOKF NATIONAL ASSN                                    OK                  25,415      35,168                2,410             235       242            477          20
23         CAPITAL ONE NATIONAL ASSN                             VA                 158,240      33,310               15,393             657       270            927           6
24         BMO HARRIS BANK NA                                    IL                  92,222      30,959               10,425             621       318            939           9
25         ALLY BANK                                             UT                  87,336      28,838               14,333             139       177            316           2

TOP 25 COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES                              $8,816,679     $221,949,873         $849,106              $399,474      $692,028        $1,091,501   129
OTHER COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES                                3,525,137          521,665          382,640                10,240         3,847            14,087     4
TOTAL AMOUNT FOR COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES                    12,341,817      222,471,538        1,231,747               409,714       695,875         1,105,589    90

Commercial banks also hold on-balance sheet assets in volumes that are multiples of bank capital. For example:

EXPOSURES FROM OTHER ASSETS                                                     EXPOSURE TO RISK
ALL COMMERCIAL BANKS & SAVINGS ASSOCIATIONS                                     BASED CAPITAL
 1-4 FAMILY MORTGAGES                                                           170%
 C&I LOANS                                                                      100%
 SECURITIES NOT IN TRADING ACCOUNT                                              204%


Note: Total credit exposure is defined as the credit equivalent amount from derivative contracts (RC-R line 54), which is the sum of netted current credit exposure and PFE.
Note: The total credit exposure to capital ratio is calculated using risk based capital (tier one plus tier two capital).
Note: Currently, the Call Report does not differentiate credit derivatives by contract type. Credit derivatives have been included in the sum of total derivatives here.
Note: Numbers may not add due to rounding.
Data source: Call Reports, Schedule RC-R.
TABLE 5

                                                        NOTIONAL AMOUNTS OF DERIVATIVE CONTRACTS HELD FOR TRADING

                                              TOP 4 COMMERCIAL BANKS, SAVINGS ASSOCIATIONS AND TRUST COMPANIES IN DERIVATIVES

                                                                          JUNE 30, 2012, $ MILLIONS




                                                                                                                                                  TOTAL             %                  TOTAL         %
                                                                                                                                              HELD FOR        HELD FOR             NOT FOR      NOT FOR
                                                                                                          TOTAL             TOTAL             TRADING         TRADING              TRADING      TRADING
RANK       BANK NAME                                                                STATE               ASSETS       DERIVATIVES                 & MTM          & MTM                   MTM        MTM
1          JPMORGAN CHASE BANK NA                                                   OH                $1,812,837       $63,221,354           $62,575,149           99.0              $646,205        1.0
2          CITIBANK NATIONAL ASSN                                                   SD                 1,347,841        49,104,498            49,028,518           99.8                75,980        0.2
3          BANK OF AMERICA NA                                                       NC                 1,445,093        41,015,087            38,433,552           93.7             2,581,535        6.3
4          GOLDMAN SACHS BANK USA                                                   NY                   114,693        41,098,629            41,085,229          100.0                13,400        0.0

TOP 4 COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES                                                    $4,720,464        $194,439,568        $191,122,448             98.3          $3,317,120        1.7
OTHER COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES                                                     7,621,352          14,407,197          12,894,542             89.5           1,512,654       10.5
TOTAL AMOUNT FOR COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES                                         12,341,817         208,846,765         204,016,991             97.7           4,829,774        2.3


Note: Currently, the Call Report does not differentiate between traded and not-traded credit derivatives. Credit derivatives have been excluded from the sum of total derivatives here.
Note: Numbers may not add due to rounding.
Data source: Call Reports, schedule RC-L
TABLE 6

                                                                                 GROSS FAIR VALUES OF DERIVATIVE CONTRACTS

                                                              TOP 4 COMMERCIAL BANKS, SAVINGS ASSOCIATIONS AND TRUST COMPANIES IN DERIVATIVES

                                                                                          JUNE 30, 2012, $ MILLIONS





                                                                                                                                   TRADING                          NOT FOR TRADING                       CREDIT DERIVATIVES
                                                                                                                                GROSS         GROSS                   GROSS         GROSS                    GROSS         GROSS
                                                                                            TOTAL             TOTAL          POSITIVE      NEGATIVE                POSITIVE      NEGATIVE                 POSITIVE      NEGATIVE
RANK       BANK NAME                                                     STATE             ASSETS      DERIVATIVES        FAIR VALUE* FAIR VALUE**              FAIR VALUE* FAIR VALUE**               FAIR VALUE* FAIR VALUE**
1          JPMORGAN CHASE BANK NA                                        OH             $1,812,837       $69,238,349         $1,578,623    $1,557,516                $13,539       $10,946                 $135,601       $135,618
2          CITIBANK NATIONAL ASSN                                        SD              1,347,841        52,150,970          1,052,471     1,038,424                     829         2,305                   74,036        71,210
3          BANK OF AMERICA NA                                            NC              1,445,093        44,405,372            833,384       830,579                  95,289        96,423                   77,293        74,239
4          GOLDMAN SACHS BANK USA                                        NY                114,693        41,580,395            855,734       811,427                     674             0                   10,599        10,705

TOP 4 COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES                                      $4,720,464       $207,375,086         $4,320,212          $4,237,946          $110,331            $109,674          $297,529         $291,772
OTHER COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES                                       7,621,352         15,096,452            265,944             266,537            26,137              18,566            16,058           15,809
TOTAL AMOUNT FOR COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES                           12,341,817        222,471,538          4,586,156           4,504,483           136,468             128,240           313,587          307,581


Note: Currently, the Call Report does not differentiate between traded and non-traded credit derivatives. Credit derivatives have been included in the sum of total derivatives here. Numbers may not sum due to rounding.
*Market value of contracts that have a positive fair value as of the end of the quarter.
**Market value of contracts that have a negative fair value as of the end of the quarter.
Data source: Call Reports, schedule RC-L
TABLE 7

                                                                                  TRADING REVENUES FROM CASH INSTRUMENTS AND DERIVATIVES

                                                                       TOP 4 COMMERCIAL BANKS, SAVINGS ASSOCIATIONS AND TRUST COMPANIES IN DERIVATIVES

                                                                                                   JUNE 30, 2012, $ MILLIONS

                                                                                 NOTE: REVENUE FIGURES ARE FOR THE QUARTER (NOT YEAR-TO-DATE)





                                                                                                                           TOTAL TRADING           TRADING REV           TRADING REV          TRADING REV               TRADING REV    TRADING REV
                                                                                                                         REV FROM CASH &                 FROM                  FROM                 FROM                      FROM           FROM
                                                                                         TOTAL             TOTAL            OFF BAL SHEET             INT RATE          FOREIGN EXCH               EQUITY             COMMOD & OTH          CREDIT
RANK       BANK NAME                                             STATE                 ASSETS       DERIVATIVES                POSITIONS             POSITIONS             POSITIONS            POSITIONS                 POSITIONS      POSITIONS
1          JPMORGAN CHASE BANK NA                                OH                  $1,812,837       $69,238,349                    ($420)              $2,000                 $360                 $770                      $146         ($3,696)
2          CITIBANK NATIONAL ASSN                                SD                   1,347,841        52,150,970                      884                  641                  372                   85                        (1)           (213)
3          BANK OF AMERICA NA                                    NC                   1,445,093        44,405,372                      680                  209                  184                   53                        33             202
4          GOLDMAN SACHS BANK USA                                NY                     114,693        41,580,395                       88                 (405)                 396                    0                         0              97

TOP 4 COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES                                   $4,720,464       $207,375,086                     $1,232              $2,445                 $1,312                $908                   $178          ($3,610)
OTHER COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES                                    7,621,352         15,096,452                        744                 286                    808                 102                     41             (494)
TOTAL AMOUNT FOR COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES                        12,341,817        222,471,538                      1,976               2,731                  2,120               1,010                    219           (4,104)


Note: Effective in the first quarter of 2007, trading revenues from credit exposures are reported separately, along with the four other types of exposures. The total derivatives column includes credit exposures.
Note: Trading revenue is defined here as "trading revenue from cash instruments and off balance sheet derivative instruments."
Note: Numbers may not sum due to rounding.
Data source: Call Reports, schedule RI
TABLE 8

                                                                                                 NOTIONAL AMOUNTS OF DERIVATIVE CONTRACTS BY CONTRACT TYPE & MATURITY

                                                                                            TOP 4 COMMERCIAL BANKS, SAVINGS ASSOCIATIONS AND TRUST COMPANIES IN DERIVATIVES

                                                                                                                        JUNE 30, 2012, $ MILLIONS




                                                                                                                                       INT RATE            INT RATE            INT RATE          INT RATE          FOREIGN EXCH       FOREIGN EXCH     FOREIGN EXCH     FOREIGN EXCH
                                                                                                   TOTAL             TOTAL            MATURITY            MATURITY            MATURITY                  ALL           MATURITY           MATURITY         MATURITY                 ALL
RANK    BANK NAME                                                         STATE                  ASSETS       DERIVATIVES                 < 1 YR           1 - 5 YRS             > 5 YRS       MATURITIES                 < 1 YR           1 - 5 YRS         > 5 YRS      MATURITIES
1       JPMORGAN CHASE BANK NA                                            OH                   $1,812,837       $69,238,349           $30,356,391         $8,111,239          $6,002,663        $44,470,293            $6,676,237           $632,268         $214,005       $7,522,510
2       CITIBANK NATIONAL ASSN                                            SD                    1,347,841        52,150,970            23,512,544           6,795,265           4,791,494        35,099,303             4,566,359            359,424          134,978        5,060,761
3       BANK OF AMERICA NA                                                NC                    1,445,093        44,405,372             7,437,093           4,625,258           2,812,877        14,875,229             3,139,867            789,597          350,297        4,279,761
4       GOLDMAN SACHS BANK USA                                            NY                      114,693        41,580,395            19,141,757           8,231,250           6,656,616        34,029,623               498,709            724,888          648,471        1,872,068

TOP 4 COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES                                             $4,720,464       $207,375,086          $80,447,785        $27,763,012         $20,263,650        $128,474,448            $14,881,172       $2,506,177       $1,347,751      $18,735,100
OTHER COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES                                              7,621,352         15,096,452            2,057,544          2,574,210           1,531,910           6,163,664              3,722,928          420,177           75,187        4,218,291
TOTAL AMOUNT FOR COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES                                  12,341,817        222,471,538           82,505,329         30,337,222          21,795,561         134,638,112             18,604,099        2,926,354        1,422,938       22,953,391


Note: Figures above exclude any contracts not subject to risk-based capital requirements, such as foreign exchange contracts with an original maturity of 14 days or less, futures contracts, written options, and basis swaps.
                                                           y maturity will not add to the total derivatives figure in this table.
Note: Numbers may not add due to rounding.
Data source: Call Reports, schedule RC-R
Therefore, the total notional amount of derivatives b
TABLE 9

                                                                                NOTIONAL AMOUNTS OF DERIVATIVE CONTRACTS BY CONTRACT TYPE & MATURITY

                                                                           TOP 4 COMMERCIAL BANKS, SAVINGS ASSOCIATIONS AND TRUST COMPANIES IN DERIVATIVES

                                                                                                       JUNE 30, 2012, $ MILLIONS





                                                                                                                GOLD                 GOLD              GOLD             GOLD           PREC METALS          PREC METALS           PREC METALS     PREC METALS
                                                                            TOTAL            TOTAL           MATURITY           MATURITY           MATURITY               ALL            MATURITY             MATURITY              MATURITY               ALL
RANK   BANK NAME                                        STATE             ASSETS      DERIVATIVES               < 1 YR           1 - 5 YRS           > 5 YRS       MATURITIES                < 1 YR             1 - 5 YRS              > 5 YRS     MATURITIES
1      JPMORGAN CHASE BANK NA                           OH              $1,812,837      $69,238,349            $66,399             $29,672              $451           $96,522              $15,339                 $3,072                  $55         $18,466
2      CITIBANK NATIONAL ASSN                           SD               1,347,841       52,150,970               2,747                 34                 0             2,781                 8,542                   939                    0           9,481
3      BANK OF AMERICA NA                               NC               1,445,093       44,405,372                 253                  0                 0               253                     0                     0                    0               0
4      GOLDMAN SACHS BANK USA                           NY                 114,693       41,580,395                   0                  0                 0                 0                     0                     0                    0               0

TOP 4 COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES                      $4,720,464       $207,375,086            $69,399            $29,706               $451            $99,556              $23,881               $4,011                $55          $27,947
OTHER COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES                       7,621,352         15,096,452             30,243                760                  0             31,003                6,757                1,684                  0            8,441
TOTAL FOR COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES                  12,341,817        222,471,538             99,642             30,466                451            130,559               30,638                5,695                 55           36,388


Note: Figures above exclude any contracts not subject to risk-based capital requirements, such as foreign exchange contracts with an original maturity of 14 days or less, futures contracts, written options, and basis swaps.
      Therefore, the total notional amount of derivatives by maturity will not add to the total derivatives figure in this table.
Note: Numbers may not add due to rounding.
Data source: Call Reports, schedule RC-R
TABLE 10

                                                                                  NOTIONAL AMOUNTS OF DERIVATIVE CONTRACTS BY CONTRACT TYPE & MATURITY

                                                                             TOP 4 COMMERCIAL BANKS, SAVINGS ASSOCIATIONS AND TRUST COMPANIES IN DERIVATIVES

                                                                                                         JUNE 30, 2012, $ MILLIONS





                                                                                                                   OTHER COMM           OTHER COMM          OTHER COMM           OTHER COMM             EQUITY            EQUITY        EQUITY         EQUITY
                                                                                    TOTAL             TOTAL          MATURITY             MATURITY            MATURITY                   ALL          MATURITY          MATURITY      MATURITY             ALL
RANK       BANK NAME                                          STATE               ASSETS       DERIVATIVES              < 1 YR             1 - 5 YRS            > 5 YRS           MATURITIES             < 1 YR          1 - 5 YRS      > 5 YRS    MATURITIES
1          JPMORGAN CHASE BANK NA                             OH                $1,812,837       $69,238,349           $219,583             $132,473             $20,529             $372,585           $274,253          $135,998       $31,579      $441,830
2          CITIBANK NATIONAL ASSN                             SD                 1,347,841        52,150,970             43,882                16,917                679               61,478            140,507             50,947       22,888        214,342
3          BANK OF AMERICA NA                                 NC                 1,445,093        44,405,372              9,370                 1,101                 29               10,500            144,064             41,751       15,095        200,911
4          GOLDMAN SACHS BANK USA                             NY                   114,693        41,580,395             10,852                   614                  0               11,466              5,662                152          751          6,565

TOP 4 COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES                              $4,720,464       $207,375,086             $283,687            $151,105             $21,237              $456,029         $564,486          $228,848      $70,313       $863,648
OTHER COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES                               7,621,352         15,096,452               28,525              18,145               2,885                49,555           33,295            34,016       11,076         78,388
TOTAL FOR COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES                          12,341,817        222,471,538              312,212             169,249              24,122               505,583          597,782           262,864       81,390        942,036


Note: Figures above exclude any contracts not subject to risk-based capital requirements, such as foreign exchange contracts with an original maturity of 14 days or less, futures contracts, written options, and basis swaps.
     Therefore, the total notional amount of derivatives by maturity will not add to the total derivatives figure in this table.
Note: Numbers may not add due to rounding.
Data source: Call Reports, schedule RC-R
TABLE 11

                                                                                            NOTIONAL AMOUNTS OF CREDIT DERIVATIVE CONTRACTS BY CONTRACT TYPE & MATURITY

                                                                                          TOP 4 COMMERCIAL BANKS, SAVINGS ASSOCIATIONS AND TRUST COMPANIES IN DERIVATIVES

                                                                                                                      JUNE 30, 2012, $ MILLIONS




                                                                                                                                                                      CREDIT DERIVATIVES                                                        CREDIT DERIVATIVES
                                                                                                                                                                      INVESTMENT GRADE                                                         SUB-INVESTMENT GRADE
                                                                                        TOTAL              TOTAL        TOTAL CREDIT              MATURITY            MATURITY      MATURITY                          ALL         MATURITY      MATURITY     MATURITY              ALL
RANK   BANK NAME                                                    STATE             ASSETS        DERIVATIVES          DERIVATIVES                 < 1 YR            1 - 5 YRS       > 5 YRS               MATURITIES              < 1 YR       1 - 5 YRS    > 5 YRS    MATURITIES
1      JPMORGAN CHASE BANK NA                                       OH              $1,812,837        $69,238,349           $6,016,995              $929,659          $2,612,141       $633,717                $4,175,517           $515,663     $1,118,738    $207,077     $1,841,478
2      CITIBANK NATIONAL ASSN                                       SD               1,347,841         52,150,970            3,046,472               284,862             867,073        168,436                 1,320,371            376,732      1,162,982     186,387      1,726,101
3      BANK OF AMERICA NA                                           NC               1,445,093         44,405,372            3,390,285               598,972           1,708,917        253,992                 2,561,882            240,591        493,098      94,715        828,403
4      GOLDMAN SACHS BANK USA                                       NY                 114,693         41,580,395              481,766                35,653             185,467         22,915                   244,035             92,278        136,879       8,574        237,731

TOP 4 COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES                                  $4,720,464        $207,375,086           $12,935,518           $1,849,146          $5,373,598           $1,079,060          $8,301,805        $1,225,264     $2,911,697    $496,753     $4,633,713
OTHER COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES                                   7,621,352          15,096,452               689,255               72,115             193,582               24,626             290,324           127,588        226,872      44,038        398,498
TOTAL AMOUNT FOR COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES                       12,341,817         222,471,538            13,624,773            1,921,262           5,567,181            1,103,686           8,592,128         1,352,852      3,138,569     540,791      5,032,212


Note: Figures above exclude any contracts not subject to risk-based capital requirements, such as foreign exchange contracts with an original maturity of 14 days or less, futures contracts, written options, and basis swaps.
                                                          y maturity will not add to the total derivatives figure in this table.
Note: Numbers may not add due to rounding.
Therefore, the total notional amount of derivatives
Data source: Call Reports, schedule RC-L and RC-R b
TABLE 12

                                                                                                                DISTRIBUTION OF CREDIT DERIVATIVE CONTRACTS

                                                                                              TOP 25 COMMERCIAL BANKS, SAVINGS ASSOCIATIONS AND TRUST COMPANIES IN DERIVATIVES

                                                                                                                           JUNE 30, 2012, $ MILLIONS




                                                                                                                                                     TOTAL CREDIT                               BOUGHT                                               SOLD
                                                                                                                                   TOTAL             DERIVATIVES              CREDIT      TOTAL                      OTHER       CREDIT      TOTAL                       OTHER
                                                                                                  TOTAL          TOTAL             CREDIT                                    DEFAULT     RETURN     CREDIT          CREDIT      DEFAULT     RETURN      CREDIT          CREDIT
RANK       BANK NAME                                                                  STATE      ASSETS       DERIVATIVES        DERVATIVES       BOUGHT        SOLD           SWAPS      SWAPS    OPTIONS     DERIVATIVES        SWAPS      SWAPS OPTIONS         DERIVATIVES
1          JPMORGAN CHASE BANK NA                                                     OH         $1,812,837        $63,221,354      $6,016,995    $3,001,513   $3,015,482   $2,960,170    $13,872    $14,137        $13,334    $2,935,446       $422     $14,315        $65,299
2          CITIBANK NATIONAL ASSN                                                     SD          1,347,841         49,104,498       3,046,472     1,567,428    1,479,044    1,538,143     20,075      9,210               0    1,466,127      2,765      10,152              0
3          BANK OF AMERICA NA                                                         NC          1,445,093         41,015,087       3,390,285     1,700,005    1,690,280    1,673,164      4,004     22,838               0    1,643,064      3,129      44,087              0
4          GOLDMAN SACHS BANK USA                                                     NY            114,693         41,098,629         481,766       281,376      200,390      224,888      4,027      2,145          50,316      195,604      3,846         940              0
5          HSBC BANK USA NATIONAL ASSN                                                VA            193,995          3,959,923         575,870       277,619      298,251      263,881     13,738          0               0      280,288     17,963           0              0
6          WELLS FARGO BANK NA                                                        SD          1,180,190          3,524,490          66,360        34,278       32,082       30,649          0          0           3,629       29,071        277           0          2,734
7          MORGAN STANLEY BANK NA                                                     UT             69,390          2,460,639          20,982        18,679        2,303       18,679          0          0               0        2,303          0           0              0
8          BANK OF NEW YORK MELLON                                                    NY            259,069          1,295,792             221           221            0          221          0          0               0            0          0           0              0
9          STATE STREET BANK&TRUST CO                                                 MA            196,960            867,123              28            28            0           28          0          0               0            0          0           0              0
10         PNC BANK NATIONAL ASSN                                                     DE            291,824            388,816           3,415         1,768        1,647          110          0          0           1,658            0          0           0          1,647
11         SUNTRUST BANK                                                              GA            172,028            269,476           4,507         2,470        2,037          553      1,915          0               2          117      1,915           0              5
12         NORTHERN TRUST CO                                                          IL             94,216            225,694              76            76            0           76          0          0               0            0          0           0              0
13         STANDARD CHARTERED BANK PLC                                                NY             48,377            145,384               0             0            0            0          0          0               0            0          0           0              0
14         U S BANK NATIONAL ASSN                                                     OH            342,823            118,026           3,048         1,044        2,004          552          0          0             492          350          0           0          1,654
15         REGIONS BANK                                                               AL            121,330            120,194             739           114          626            0          0          0             114            0          0           0            626
16         KEYBANK NATIONAL ASSN                                                      OH             83,966             78,548           2,613         1,469        1,143        1,469          0          0               0        1,051         93           0              0
17         BRANCH BANKING&TRUST CO                                                    NC            173,678             77,013               0             0            0            0          0          0               0            0          0           0              0
18         FIFTH THIRD BANK                                                           OH            115,041             71,181           1,317           360          957            0          0          0             360            0          0           0            957
19         TD BANK NATIONAL ASSN                                                      DE            195,943             68,941             740           725           15          725          0          0               0           15          0           0              0
20         UNION BANK NATIONAL ASSN                                                   CA             87,275             58,755              35            35            0           35          0          0               0            0          0           0              0
21         RBS CITIZENS NATIONAL ASSN                                                 RI            106,894             35,680             887             0          887            0          0          0               0            0          0           0            887
22         BOKF NATIONAL ASSN                                                         OK             25,415             35,168               0             0            0            0          0          0               0            0          0           0              0
23         CAPITAL ONE NATIONAL ASSN                                                  VA            158,240             32,604             705           136          570            0          0         11             125            0          0         131            439
24         BMO HARRIS BANK NA                                                         IL             92,222             30,869              90            89            1            3         75          0              10            1          0           0              0
25         ALLY BANK                                                                  UT             87,336             28,838               0             0            0            0          0          0               0            0          0           0              0

TOP 25 COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES                                              $8,816,679       $208,332,722      $13,617,151   $6,889,431   $6,727,720   $6,713,344    $57,706    $48,341         $70,040   $6,553,437    $30,409    $69,625         $74,248
OTHER COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES                                                3,525,137            514,042            7,622        5,904        1,718          424      3,929        240           1,311          305          2          0           1,411
TOTAL AMOUNT FOR COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES                                    12,341,817        208,846,765       13,624,773    6,895,335    6,729,438    6,713,768     61,636     48,581          71,351    6,553,741     30,411     69,625          75,659

                                                                                                                                           (%)          (%)          (%)          (%)        (%)        (%)             (%)          (%)        (%)         (%)             (%)
TOP 25 COMMERCIAL BANKS, SAs & TCs: % OF TOTAL COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES                                                99.9         50.6         49.4         49.3        0.4        0.4             0.5         48.1        0.2         0.5             0.5
OTHER COMMERCIAL BANKS, SAs & TCs: % OF TOTAL COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES                                                  0.1          0.0          0.0          0.0        0.0        0.0             0.0          0.0        0.0         0.0             0.0
TOTAL AMOUNT FOR COMMERCIAL BANKS, SAs & TCs: % OF TOTAL COMMERCIAL BANKS, SAs & TCs WITH DERIVATIVES                                     100.0         50.6         49.4         49.3        0.5        0.4             0.5         48.1        0.2         0.5             0.6


Note: Credit derivatives have been excluded from the sum of total derivatives here.
Note: Numbers may not add due to rounding.
Data source: Call Reports, schedule RC-L

								
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